SSE/EFI Working Paper Series in Economics and Finance
Iņaki R. Longarela
Gain, Loss, and Asset Pricing: It is Much Easier. A note
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
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