Gain, Loss, and Asset Pricing: It is Much Easier. A note

Iñaki R. Longarela ()
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Iñaki R. Longarela: Dept. of Finance, Stockholm School of Economics, Postal: Stockholm School of Economics, P.O. Box 6501, S-113 83 Stockholm, Sweden

No 401, SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics

Abstract: 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.

Keywords: asset price bounds; gain-loss ratio; linear programming (search for similar items in EconPapers)
JEL-codes: C63 G12 (search for similar items in EconPapers)
Pages: 5 pages
Date: 2000-09-04, Revised 2000-10-18
New Economics Papers: this item is included in nep-fin
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:hastef:0401

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