Three Centuries Of Asset Pricing
London Business School; University of Cambridge - Judge Business School
Cantab Capital Partners
As Published in Journal of Banking & Finance, Vol. 23, 1999
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, G13Accepted Paper Series
Date posted: January 11, 2000
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