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Probability and
Finance
WILEY SERIES IN PROBABILITY AND STATISTICS
FINANCIAL ENGINEERING SECTION
Established by WALTER A. SHEWHART and SAMUEL
S. WILKS
Editors:
Peter Bloorqfield, Noel A. C. Cressie, Nicholas
1.
Fisher;
Iuin M. John.stone, J.
B.
Kudane, Louise M. Ryan, David W Scott,
Revnuid
PY
Silverman, Adrian
E
M. Smith,
Jozef
L. Teugels;
Vic Burnett. Emeritus, Ralph
A.
Bradley, Emeritirs,
J. Stztul-t
Hiinter;
Emeritus, David G. Kenclall, Emel-itits
A
complete list of the titles
in
this series appears at the end of this volume.
Probability and
Finance
It’s Only
a
Game!
GLENN SHAFER
Rzitgers University
Newark, New Jersey
VLADIMIR VOVK
Rqval Holloway, University of London
Egharn, Surrey, England
A
Wiley-Interscience Publication
JOHN
WILEY
&
SONS, INC.
NewYork Chichester Weinheim
Brisbane
Singapore Toronto
This text is pi-inted on acid-free paper.
@
Copyright
C
2001 by John Wiley
&
Sons. Inc
All rights reserved. Published simultaneously in Canada.
No part of this publication may be reproduced. stored in a retrieval system or transmitted in any
form or by any means, electronic, mechanical. photocopying. recording, scanning or othenvise.
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Library
of
Congress Catulojiing-iit-PNblicution Data:
Shafer, Glenn. I946
Probability and finance
:
it's only a game! /Glenn Shafer
and
Vladimir Vovk
p. cin.
~
(Wiley series
in
probability and statistics. Financial engineering section)
Includes bibliographical references and index.
ISBN 0-471-40226-5 (acid-free paper)
1.
Investments-Mathematics.
2. Statistical decision.
3.
Financial engineering.
1.
Vovk,
Vladimir, 1960-.
11.
Title. 111. Series.
HG4S 15
3 .SS34 2001
332'.01'1
-dc21
2001024030
Printed in the United States of America
10987654321
Contents
Preface
ix
1 Probability and Finance as a Game
1.1
A
Game with the World
1.2 The Protocol for a Probability Game
1.3 The Fundamental Interpretative Hypothesis
1.4 The Many Interpretations
of
Probability
1.5
Game-Theoretic Probability in Finance
1
4
9
14
19
22
Part I Probability without Measure
27
2 The Historical Context
2.1 Probability before Kolmogorov
2.2 Kolmogorov
's
Measure-Theoretic Framework
2.3 Realized Randomness
2.4 What is a Martingale?
2.5
2.6 Neosubjectivism
2.7 Conclusion
29
30
39
46
51
55
59
60
V
The Impossibility
of
a Gambling System
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