IDEAS home Printed from https://ideas.repec.org/p/hhs/hastef/0401.html
   My bibliography  Save this paper

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

Author

Listed:
  • Longarela, Iñaki R.

    () (Dept. of Finance, 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.

Suggested Citation

  • Longarela, Iñaki R., 2000. "Gain, Loss, and Asset Pricing: It is Much Easier. A note," SSE/EFI Working Paper Series in Economics and Finance 401, Stockholm School of Economics, revised 18 Oct 2000.
  • Handle: RePEc:hhs:hastef:0401
    as

    Download full text from publisher

    File URL: http://swopec.hhs.se/hastef/papers/hastef0401.pdf
    Download Restriction: no

    More about this item

    Keywords

    asset price bounds; gain-loss ratio; linear programming;

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hhs:hastef:0401. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Helena Lundin). General contact details of provider: http://edirc.repec.org/data/erhhsse.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.