|
EconStor >
Stockholm School of Economics >
EFI - The Economic Research Institute, Stockholm School of Economics >
SSE/EFI Working Paper Series in Economics and Finance, EFI - The Economic Research Institute, Stockholm School of Economics >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/56344
|
| | |
Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Longarela, Iñaki R. | | en_US |
| dc.date.accessioned | | 2012-03-28T13:10:48Z | | - |
| dc.date.available | | 2012-03-28T13:10:48Z | | - |
| dc.date.issued | | 2000 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/56344 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Ekonomiska Forskningsinst. Stockholm | | en_US |
| dc.relation.ispartofseries | | SSE/EFI Working Paper Series in Economics and Finance 401 | | en_US |
| dc.subject.jel | | C63 | | en_US |
| dc.subject.jel | | G12 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | asset price bounds | | en_US |
| dc.subject.keyword | | gain-loss ratio | | en_US |
| dc.subject.keyword | | linear programming | | en_US |
| dc.title | | Gain, loss, and asset pricing: It is much easier ; a note | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 333188616 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | SSE/EFI Working Paper Series in Economics and Finance, EFI - The Economic Research Institute, Stockholm School of Economics
|
| Files in This Item:
| |
|
| No. of Downloads:
| |
| last Month |
last 3 Month |
total |
|
|
|
|
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|