Gain, Loss, and Asset Pricing

By Antonio E. Bernardo, Olivier Ledoit. Journal of Political Economy, 2000

468 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/9c060f54e0e55fefb7812caf8fdb4266c1ad3e49

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Citations in the corpus

Risk and Return in Fixed Income Arbitrage: Nickels in front of a Steamroller? (2006, unknown): “Gain/Loss is the Bernardo and Ledoit (2000) gain/loss ratio for the strategy.”
Different Approaches to Risk Estimation in Portfolio Theory (2004, background): “Although the Sharpe ratio is fully compatible with normally distributed returns (or, in general, with elliptical returns), it will lead to incorrect investment decisions when returns present kurtosis or skewness (see, among others, Leland [1999] and Bernardo and Ledoit [2000]). Specifically, returns”
COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS (2005, unknown): “of an assumed measure of acceptability; see for instance Bernardo and Ledoit (1999) , Cochrane and Sa´a Requejo (2000), Jaschke and K¨uchler (2001), ˇ”
Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors (2012, unknown): “The importance of linking markets has been emphasized by Campbell (1986); Campbell and Ammer (1993), Baele, Bekaert, and Inghelbrecht (2010), Colacito, Engle, and Ghysels (2011), and David and Veronesi (2008). Our bound in Proposition 3 is new, with no counterpart in Alvarez and Jermann (2005).”
Static portfolio choice under Cumulative Prospect Theory (2010, unknown): “[9]), or as a generalized form of the gain–loss ratio of Bernardo and Ledoit [7].”
Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment (2011, methodology): “17Both k0 and the CPT-ratio are also related to the so-called Omega measure introduced by Keating and Shadwick (2002) and the gain–loss ratio of Bernardo and Ledoit (2000).”
Momentum strategies based on reward-risk stock selection criteria (2007, background): “However, erroneous asset selection decisions may be made when the Sharpe ratios are applied to asset returns that follow a non-Gaussian distribution (Bernardo and Ledoit, 2000).”
Statistical Arbitrage and Securities Prices (2003, background): “) Bernardo and Ledoit (2000) introduce an extension of a PAO, called an approximate arbitrage opportunity (AAO).”
Portfolio performance evaluation with loss aversion (2010, unknown): “This ratio is also known as the Bernardo–Ledoit gain–loss ratio (Bernardo and Ledoit 2000). kIt can be easily checked that, in this case, the investor’s expected utility attains maximum at a¼ 0. yyNote, in addition, that when 1 ¼ 0 the investor with this utility function does not exhibit loss…”
Pricing and hedging in incomplete markets (2001, methodology): “For example, Cochrane and Sa!a Requejo (2000), Ledoit (1995), and Bernardo and Ledoit (2000) all use the Sharpe ratio as a criterion for acceptability.”
Análisis comparativo de rentabilidades de un portafolio de inversión valorado con diferentes metodologías (2020, background): “El cálculo del precio de un activo financiero según Bernardo & Ledoit (2000) tiene dos metodologías: i. basada en modelos; y ii.”
Demand-Based Option Pricing (2009, unknown): “Cochrane and Saa-Requejo (2000) and Bernardo and Ledoit (2000) derive tighter option-pricing bounds by restricting the Sharpe ratio or gain/loss ratio to be below an arbitrary level, and Constantinides and Perrakis (2002) derive bounds using stochastic dominance for small option positions.”