A Simple Linear Programming Approach to Gain, Loss and Asset Pricing

Abstract 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.

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Year of publication:	2003
Authors:	Rodríguez Longarela, Iñaki
Published in:	The B.E. Journal of Theoretical Economics. - De Gruyter, ISSN 1935-1704, ZDB-ID 2268339-2. - Vol. 2.2003, 1
Publisher:	De Gruyter
Subject:	asset price bounds \| gain-loss ratio \| linear programming

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Type of publication:	Article
Type of publication (narrower categories):	research-article
Language:	English
Other identifiers:	10.2202/1534-598X.1064 [DOI]
Source:	Other ZBW resources

Persistent link: https://www.econbiz.de/10014589055