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A Simple Linear Pro...
A Simple Linear Programming Approach to Gain, Loss and Aset Pricing
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- Longarela, Iñaki Rodríguez (författare)
- Stockholms universitet,Företagsekonomiska institutionen
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(creator_code:org_t)
- 2003
- 2003
- Engelska.
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Ingår i: Topics in Theoretical Economics. - 1534-598X. ; 2:1
- Relaterad länk:
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https://urn.kb.se/re...
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visa fler...
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https://doi.org/10.2...
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Abstract
Ämnesord
Stäng
- 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.
Ämnesord
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Nationalekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Economics (hsv//eng)
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Företagsekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Business Administration (hsv//eng)
Nyckelord
- asset price bounds
- gain-loss ratio
- linear programming
- Economics
- nationalekonomi
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
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