Risk-Adjusted Capital Budgeting Using Arbitrage
提出一种基于套利的资本预算方法，通过构建与投资项目现金流匹配的资产组合来定价，避免使用CAPM等复杂假设，但需解决公开交易资产价格与现金流的关系问题。
Ross suggests finding a portfolio of assets which, properly adjusted over time, provides the same cash flows as the proposed investment. The market price of the portfolio is, therefore, the market price of the matched income stream. Although he shows a few simple examples, Ross does not develop a general method for finding the appropriate portfolio of assets. The scheme is attractive because it employs only a simple no free lunch assumption. The recondite assumptions necessary for the use of the Capital Asset Pricing Model (CAPM) (see Fama [4]) are not necessary. Nor must we know the value of a market portfolio. The chief difficulty, as will be seen below, is establishing a relationship between the price of a publicly traded asset and the cash flow. A Simple Two-State Example and its Solution