SSE/EFI Working Paper Series in Economics and Finance
No 401:
Gain, Loss, and Asset Pricing: It is Much Easier. A note
Iņaki R. Longarela ()
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; (follow links to similar papers)
JEL-Codes: C63; G12; (follow links to similar papers)
5 pages, September 4, 2000, Revised October 18, 2000
Before downloading any of the electronic versions below
you should read our statement on
copyright.
Download GhostScript
for viewing Postscript files and the
Acrobat Reader for viewing and printing pdf files.
Full text versions of the paper:
hastef0401.pdf 
(121kB)
Download Statistics
Questions (including download problems) about the papers in this series should be directed to Helena Lundin ()
Report other problems with accessing this service to Sune Karlsson ()
or Helena Lundin ().
Programing by
Design by Joachim Ekebom
