Gain, Loss, and Asset Pricing: It is Much Easier. A note

Bernardo and Ledoit (2000) develop a very appealing framework to compute pricing bounds based on the so-called 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 an simple procedure for their computation which only entails solving a linear optimization program.

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Year of publication:	2000-09-04
Authors:	Longarela, Iñaki R.
Institutions:	Economics Institute for Research (SIR), Handelshögskolan i Stockholm
Subject:	asset price bounds \| gain-loss ratio \| linear programming

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Extent:	application/pdf
Series:	SSE/EFI Working Paper Series in Economics and Finance.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series SSE/EFI Working Paper Series in Economics and Finance Number 401 5 pages
Classification:	C63 - Computational Techniques ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005771180