Least-Squares Prices of Games

Details Least-Squares Prices of Games Least-Squares Prices of Games

2007-03-04

arxiv.org/abs/math/0703079v3

International Journal of Applied Mathematics & Statistics 13 (2008), 3-8.

Mathematics

Optimization and Control

6 pages. We added Remarks 3.5 and 3.6. We revised Remark 3.6

Scientific paper

What are the prices of random variables? In this paper, we define the least-squares prices of coin-flipping games, which are proved to be minimal, positive linear, and arbitrage-free. These prices depend both on a set of games that are available for investing simultaneously and on a risk-free interest rate. In addition, we show a case where the mean-variance portfolio theory is inappropriate.

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