Linear versus Compounded Returns: Common Pitfalls in Risk and Portfolio Management

버전 1.1.0.0 (3.83 KB) 작성자: Attilio Meucci
Compounded returns for projection/estimation Linear returns for portfolio aggregation
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업데이트 날짜: 2011/5/4

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To walk through the code and for a thorough description, refer to
A. Meucci, (2010) "Linear versus Compounded Returns: Common Pitfalls in Risk and Portfolio Management",

Latest version of code and article available at http://symmys.com/node/141

인용 양식

Attilio Meucci (2024). Linear versus Compounded Returns: Common Pitfalls in Risk and Portfolio Management (https://www.mathworks.com/matlabcentral/fileexchange/31308-linear-versus-compounded-returns-common-pitfalls-in-risk-and-portfolio-management), MATLAB Central File Exchange. 검색됨 .

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LinRetsVsLogRets/

버전 게시됨 릴리스 정보
1.1.0.0

fixed typo
1.0.0.0