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.

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Year of publication:	2003
Authors:	IÃ±aki RodrÃguez Longarela
Published in:	Topics in Theoretical Economics. - Berkeley Electronic Press. - Vol. 2.2003, 1, p. 1064-1064
Publisher:	Berkeley Electronic Press
Subject:	asset price bounds \| gain-loss ratio \| linear programming

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Extent:	application/pdf
Type of publication:	Article
Notes:	oai:bepress:bejte-1064
Classification:	C63 - Computational Techniques
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005458936