However, while Black and Scholes were trying to solve the problem of option pricing by deploying the Capital Asset Pricing Model, Thorp had little interest in the latter; he was aware of it, but not "at the expert level." Indeed, for him the proposition (central to the mathematics of Black and Scholes, and in a different way to Merton's analysis as well) that a properly hedged portfolio would earn only the riskless rate of interest would have stood in direct contradiction to his empirical experience. The entire point of his and Kassouf's book Beat the Market (Thorp and Kassouf 1967) was that its authors had found they could earn far more than that from hedged portfolios.

Donald MacKenzie, An Engine, Not a Camera, loc. 1106