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dc.contributor.authorLongarela, Iñaki R.en
dc.date.accessioned2012-03-28T13:10:48Z-
dc.date.available2012-03-28T13:10:48Z-
dc.date.issued2000-
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
dc.language.isoengen
dc.publisher|aStockholm School of Economics, The Economic Research Institute (EFI) |cStockholmen
dc.relation.ispartofseries|aSSE/EFI Working Paper Series in Economics and Finance |x401en
dc.subject.jelC63en
dc.subject.jelG12en
dc.subject.ddc330en
dc.subject.keywordasset price boundsen
dc.subject.keywordgain-loss ratioen
dc.subject.keywordlinear programmingen
dc.titleGain, loss, and asset pricing: It is much easier ; a note-
dc.typeWorking Paperen
dc.identifier.ppn333188616en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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