Gain, Loss, and Asset Pricing: It is Much Easier. A note
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.
|Date of creation:||04 Sep 2000|
|Date of revision:||08 Sep 2000|
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