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

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:	2000
Authors:	Longarela, Iñaki R.
Publisher:	Stockholm : Stockholm School of Economics, The Economic Research Institute (EFI)
Subject:	asset price bounds \| gain-loss ratio \| linear programming

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Series:	SSE/EFI Working Paper Series in Economics and Finance ; 401
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	333188616 [GVK] hdl:10419/56344 [Handle]
Classification:	C63 - Computational Techniques ; G12 - Asset Pricing
Source:	EconStor

Persistent link: https://www.econbiz.de/10010281414