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A Simple Linear Programming Approach to Gain, Loss and Aset Pricing
Stockholm University, Faculty of Social Sciences, Stockholm Business School.ORCID iD: 0000-0002-1097-3784
2003 (English)In: Topics in Theoretical Economics, ISSN 1534-598X, Vol. 2, no 1Article in journal (Refereed) Published
Abstract [en]

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.

Place, publisher, year, edition, pages
2003. Vol. 2, no 1
Keyword [en]
asset price bounds, gain-loss ratio, linear programming
National Category
Economics Business Administration
Research subject
Economics
Identifiers
URN: urn:nbn:se:su:diva-122705DOI: 10.2202/1534-598X.1064OAI: oai:DiVA.org:su-122705DiVA: diva2:868190
Available from: 2015-11-09 Created: 2015-11-09 Last updated: 2017-12-01Bibliographically approved

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