Gain, Loss, and Asset Pricing: It is Much Easier. A Note

SSE/EFI Working Paper in Economics and Finance No. 401

5 Pages Posted: 30 Oct 2000

See all articles by Iñaki Rodríguez-Longarela

Iñaki Rodríguez-Longarela

Stockholm University - Stockholm Business School; UiT-The Arctic University of Norway - School of Business and Economics

Date Written: October 19, 2000

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.

JEL Classification: C63, G12

Suggested Citation

Rodríguez Longarela, Iñaki, Gain, Loss, and Asset Pricing: It is Much Easier. A Note (October 19, 2000). SSE/EFI Working Paper in Economics and Finance No. 401. Available at SSRN: https://ssrn.com/abstract=241575 or http://dx.doi.org/10.2139/ssrn.241575

Iñaki Rodríguez Longarela (Contact Author)

Stockholm University - Stockholm Business School ( email )

Stockholm
Sweden

UiT-The Arctic University of Norway - School of Business and Economics ( email )

Tromsø, 9037
Norway

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