  We derive formulas for the performance of capital assets in continuous time
from an efficient market hypothesis, with no stochastic assumptions and no
assumptions about the beliefs or preferences of investors. Our efficient market
hypothesis says that a speculator with limited means cannot beat a particular
index by a substantial factor. Our results include a formula that resembles the
classical CAPM formula for the expected simple return of a security or
portfolio.
  This version of the article was essentially written in December 2001 but
remains a working paper.
