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- W3121998064 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." @default.
- W3121998064 created "2021-02-01" @default.
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- W3121998064 date "2003-02-17" @default.
- W3121998064 modified "2023-09-27" @default.
- W3121998064 title "A Simple Linear Programming Approach to Gain, Loss and Asset Pricing" @default.
- W3121998064 hasPublicationYear "2003" @default.
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