We construct two classes of risk-reward measures - one by generalizing the mean-variance model of Markowitz (1952), and the other by generalizing the gain-loss model of Bernardo amp; Ledoit (2000) - and develop, for these economies, the following: (i) a CAPM-like relative pricing equation; (ii)...

We establish simple analytical and numerical methods for propagating stochastic price processes backwards in time, step by step, to the initial value while satisfying all cross-sectional and serial requirements. This proves useful in dealing with complex path-dependent options with American...