Three Centuries of Asset Pricing
University of Cambridge - Judge Business School ; London Business School
Cantab Capital Partners
Journal of Banking and Finance, Vol 23, No 12, 1999, pages 1745–1769
Theory on the pricing of financial assets can be traced back to Bernoulli's famous St. Petersburg paper of 1738. Since then, research into asset pricing and derivative valuation has been influenced by a couple of dozen major contributions published during the twentieth century. These seminal works have underpinned the key ideas of mean-variance optimisation, equilibrium analysis and no-arbitrage arguments. This paper presents a historical review of these important contributions to finance.
JEL Classification: B00, G11, G12, G13
Date posted: January 11, 2000 ; Last revised: March 20, 2016
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