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A Simple Linear Programming Approach to Gain, Loss and Asset Pricing

Author

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  • Rodríguez Longarela Iñaki

    (Stockholm School of Economics, Inaki.Rodriguez@hhs.se)

Abstract

Bernardo and Ledoit (2000) develop a very appealing framework to compute pricing bounds based on what they call 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 a simple procedure for their computation which only entails solving a linear optimization program.

Suggested Citation

  • Rodríguez Longarela Iñaki, 2003. "A Simple Linear Programming Approach to Gain, Loss and Asset Pricing," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 2(1), pages 1-10, January.
    • Handle: RePEc:bpj:bejtec:v:topics.2:y:2003:i:1:n:4
    DOI: 10.2202/1534-598X.1064
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    Cited by:

    1. Voelzke, Jan, 2015. "Weakening the Gain–Loss-Ratio measure to make it stronger," Finance Research Letters, Elsevier, vol. 12(C), pages 58-66.

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