Book contents
- Frontmatter
- Contents
- Foreword
- Preface
- Part One Equilibrium and Arbitrage
- Part Two Valuation
- Part Three Risk
- Part Four Optimal Portfolios
- Part Five Equilibrium Prices and Allocations
- Part Six Mean-Variance Analysis
- Part Seven Multidate Security Markets
- Part Eight Martingale Property of Security Prices
- 25 Event Prices, Risk-Neutral Probabilities, and the Pricing Kernel
- 26 Security Gains as Martingales
- 27 Conditional Consumption-Based Security Pricing
- 28 Conditional Beta Pricing and the CAPM
- Index
26 - Security Gains as Martingales
Published online by Cambridge University Press: 05 September 2012
- Frontmatter
- Contents
- Foreword
- Preface
- Part One Equilibrium and Arbitrage
- Part Two Valuation
- Part Three Risk
- Part Four Optimal Portfolios
- Part Five Equilibrium Prices and Allocations
- Part Six Mean-Variance Analysis
- Part Seven Multidate Security Markets
- Part Eight Martingale Property of Security Prices
- 25 Event Prices, Risk-Neutral Probabilities, and the Pricing Kernel
- 26 Security Gains as Martingales
- 27 Conditional Consumption-Based Security Pricing
- 28 Conditional Beta Pricing and the CAPM
- Index
Summary
- Type
- Chapter
- Information
- Principles of Financial Economics , pp. 258 - 263Publisher: Cambridge University PressPrint publication year: 2000