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

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Author Info
Iñaki Rodríguez Longarela (Stockholm School of Economics)
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.

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Publisher Info
Article provided by Berkeley Electronic Press in its journal Topics in Theoretical Economics.

Volume (Year): 2 (2003)
Issue (Month): 1 ()
Pages: 1064-1064
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Handle: RePEc:bep:thetop:v:2:y:2003:i:1:p:1064-1064

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Related research
Keywords: asset price bounds gain-loss ratio linear programming

Find related papers by JEL classification:
C63 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Computational Techniques

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