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

Rodríguez Longarela Iñaki
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Rodríguez Longarela Iñaki: Stockholm School of Economics, Inaki.Rodriguez@hhs.se

The B.E. Journal of Theoretical Economics, 2003, vol. 2, issue 1, 10

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.

Keywords: asset price bounds; gain-loss ratio; linear programming (search for similar items in EconPapers)
Date: 2003
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DOI: 10.2202/1534-598X.1064

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