A BEJTE Topics article.

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.

Submitted: September 9, 2002 · Accepted: December 18, 2002 · Published: January 8, 2003

Originally published in Topics in Theoretical Economics.

Recommended Citation

Rodríguez Longarela, Iñaki (2002) "A Simple Linear Programming Approach to Gain, Loss and Asset Pricing," Topics in Theoretical Economics: Vol. 2 : Iss. 1, Article 4.
Available at: http://www.bepress.com/bejte/topics/vol2/iss1/art4