Gain, loss, and asset pricing : it is much easier ; a note

I. R. Longarela

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:	18 Oct. 2000 ; [Elektronische Ressource], Rev. October 18, 2000
Other Persons:	Rodríguez Longarela, Iñaki (contributor)
Institutions:	Ekonomiska forskningsinstitutet <Stockholm> (contributor)
Publisher:	Stockholm : Ekonomiska Forskningsinst.
Subject:	asset price bounds \| gain-loss ratio \| linear programming \| Theorie \| Theory \| CAPM \| Mathematische Optimierung \| Mathematical programming

Extent:	Online-Ressource (PDF-Datei: 5 S., 121,44 KB) graph. Darst.
Series:	SSE EFI working paper series in economics and finance. - Stockholm : [Verlag nicht ermittelbar], ISSN 1402-9928, ZDB-ID 2544040-8. - Vol. 401
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper
Language:	English
Notes:	nBibliography Gesamttitel von der Homepage Systemvoraussetzungen: Acrobat reader
Other identifiers:	hdl:10419/56344 [Handle]
Classification:	C63 - Computational Techniques ; G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10001600011