The iterative law of expectation and non-additive probability measure

Autor:	Keuk-Ryoul Yoo
Rok vydání:	1991
Předmět:	Economics and Econometrics Law of total expectation Law Economics Probability mass function Law of total cumulance Conditional probability Empirical measure Risk-neutral measure Finance Independence (probability theory) Probability measure
Zdroj:	Economics Letters. 37:145-149
ISSN:	0165-1765
DOI:	10.1016/0165-1765(91)90123-3
Popis:	I show in this paper that the iterative law of expectation holds if and only if a probability measure is additive. This indicates that a market price of an uncertain asset may not reflect the market's information about the asset.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::65fa49c5590374644efd578b06ed224e https://doi.org/10.1016/0165-1765(91)90123-3 Zobrazit plný text záznamu