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

Version 1.1.0.0 (3,83 KB) von Attilio Meucci
Compounded returns for projection/estimation Linear returns for portfolio aggregation
0.0
(0)
1,2K Downloads
Aktualisiert 4. Mai 2011

Lizenz anzeigen

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

Zitieren als

Attilio Meucci (2025). 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. Abgerufen.

Kompatibilität der MATLAB-Version
Erstellt mit R2010b
Kompatibel mit allen Versionen
Plattform-Kompatibilität
Windows macOS Linux

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

LinRetsVsLogRets/

Version Veröffentlicht Versionshinweise
1.1.0.0

fixed typo
1.0.0.0