作者：Bernardo, AE; Ledoit, O
作者单位：University of California System; University of California Los Angeles
摘要：We develop an approach to asset pricing in incomplete markets that bridges the gap between the two fundamental approaches in finance: model-based pricing and pricing by no arbitrage. We strengthen the absence of arbitrage assumption by precluding investment opportunities whose attractiveness to a benchmark investor exceeds a specified threshold. In our framework, the attractiveness of an investment opportunity is measured by the gain-loss ratio. We show that a restriction on the maximum gain-l...
