A Simple Linear Programming Approach to Gain, Loss and Asset Pricing
Bernardo and Ledoit (2000) develop a very appealing framework to compute pricing bounds based on what they call gain-loss ratio. Their method has many advantages and very interesting properties and so far one important drawback: the complexity of the numerical computation of the pricing bounds. In this note we provide a simple procedure for their computation which only entails solving a linear optimization program.
Year of publication: |
2003
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Authors: | Iñaki RodrÃguez Longarela |
Published in: |
Topics in Theoretical Economics. - Berkeley Electronic Press. - Vol. 2.2003, 1, p. 1064-1064
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Publisher: |
Berkeley Electronic Press |
Subject: | asset price bounds | gain-loss ratio | linear programming |
Saved in:
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