Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/56344
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dc.contributor.authorLongarela, Iñaki R.en_US
dc.date.accessioned2012-03-28T13:10:48Z-
dc.date.available2012-03-28T13:10:48Z-
dc.date.issued2000en_US
dc.identifier.urihttp://hdl.handle.net/10419/56344-
dc.description.abstractBernardo 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.isoengen_US
dc.publisher|aEkonomiska Forskningsinst. |cStockholmen_US
dc.relation.ispartofseries|aSSE/EFI Working Paper Series in Economics and Finance |x401en_US
dc.subject.jelC63en_US
dc.subject.jelG12en_US
dc.subject.ddc330en_US
dc.subject.keywordasset price boundsen_US
dc.subject.keywordgain-loss ratioen_US
dc.subject.keywordlinear programmingen_US
dc.titleGain, loss, and asset pricing: It is much easier ; a noteen_US
dc.typeWorking Paperen_US
dc.identifier.ppn333188616en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US

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