Three Centuries of Asset Pricing

22 Pages Posted: 11 Jan 2000 Last revised: 20 Mar 2016

Elroy Dimson

University of Cambridge - Judge Business School; London Business School

Massoud Mussavian

Cantab Capital Partners

Multiple version iconThere are 2 versions of this paper

Date Written: January 5, 2000

Abstract

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

Suggested Citation

Dimson, Elroy and Mussavian, Massoud, Three Centuries of Asset Pricing (January 5, 2000). Journal of Banking and Finance, Vol. 23, No. 12, 1999, pages 1745–1769; LBS Institute of Finance and Accounting Working Paper No. IFA 385. Available at SSRN: https://ssrn.com/abstract=203108 or http://dx.doi.org/10.2139/ssrn.203108

Elroy Dimson (Contact Author)

University of Cambridge - Judge Business School ( email )

Trumpington Street
Cambridge, CB2 1AG
United Kingdom
+44 20 7000 8212 (Phone)
+44 700 607 7390 (Fax)

London Business School ( email )

Sussex Place
Regent's Park
London, NW1 4SA
United Kingdom
44 20 7000 7000 (Phone)
44 700 607 7390 (Fax)

Massoud Mussavian

Cantab Capital Partners ( email )

City House
126-130 Hills Road
Cambridge, CB2 1RE
United Kingdom

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