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:	Rodríguez-Longarela, Iñaki
Publisher:	[2003]: [S.l.] : SSRN
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Notes:	In: Topics in Theoretical Economics, Vol. 2, No. 1, 2002 Volltext nicht verfügbar
Classification:	C63 - Computational Techniques ; G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012786759