@techreport{Longarela2000Gain,
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.},
address = {Stockholm},
author = {I\\textasciitilde{}{n}aki R. Longarela},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {C63; G12; 330; asset price bounds; gain-loss ratio; linear programming},
language = {eng},
number = {401},
publisher = {Ekonomiska Forskningsinst.},
title = {Gain, loss, and asset pricing: It is much easier ; a note},
type = {SSE/EFI Working Paper Series in Economics and Finance},
url = {http://hdl.handle.net/10419/56344},
year = {2000}
}
