Correspondence: Moawia Alghalith, Economics Department, UWI, St. Augustine, Trinidad. E-mail: malghalith@gmail.com

¹teaches Financial Economics at the University of the West Indies, St Augustine, and previously taught Economics at the University of St Andrews (Scotland) and Northern Illinois University. The main research topics of M. Alghalith are decisions under uncertainty, hedging and futures markets. Alghalith has published in several journals, such as Annals of Finance and the European Journal of Operational Research, and recently wrote the book 'New Economics of Risk and Uncertainty' (2007). Alghalith is the co-editor of the International Journal of Mathematics, Game Theory and Algebra and a guest editor of Annals of Operations Research.

Received 2 March 2009; Revised 2 March 2009.

Abstract

We present an alternative theory of asset pricing according to which the future asset prices are determined endogenously as optimal solutions to the objective function.