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Title:Gain, loss, and asset pricing: It is much easier ; a note PDF Logo
Authors:Longarela, Iñaki R.
Issue Date:2000
Series/Report no.:SSE/EFI Working Paper Series in Economics and Finance 401
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.
Subjects:asset price bounds
gain-loss ratio
linear programming
JEL:C63
G12
Document Type:Working Paper
Appears in Collections:SSE/EFI Working Paper Series in Economics and Finance, EFI - The Economic Research Institute, Stockholm School of Economics

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