‘The two quantifications of financial theory: a toy model’ by Christian Walter

I present without mathematical complexity a toy model of the well-known and celebrated Efficient Market Hypothesis (EMH). This toy EMH-model aims to illuminate the correspondences between the multiple representations of EMH-models with a focus on the two main mathematical frameworks of EMH: the mean-variance universe of Markowitz (1952) under the “real world” probability P and the martingale pricing universe of Harrison and Kreps (1979) […]

Continue reading