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A Simple Linear Programming Approach to Gain, Loss and Asset Pricing
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Iñaki Rodríguez Longarela
Published/Copyright:
January 8, 2003
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.
Published Online: 2003-01-08
©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston
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Articles in the same Issue
- Local Conventions
- Equilibrium Departures from Common Knowledge in Games with Non-Additive Expected Utility
- Bargaining over Risky Assets
- Private Strategies in Finitely Repeated Games with Imperfect Public Monitoring
- Regulation by Negotiation: the Private Benefit Bias
- Joint Liability and Peer Monitoring under Group Lending
- The Noisy Duopolist
- Spontaneous Market Emergence
- A Simple Linear Programming Approach to Gain, Loss and Asset Pricing
- Forward Discount Bias, Nalebuff's Envelope Puzzle, and the Siegel Paradox in Foreign Exchange
- Risk Averse Supervisors and the Efficiency of Collusion
- Advances Article
- The Principal-Agent Matching Market
