I have a time series of monthly log returns, and want to transform these into monthly log prices. How do I proceed?

I have performed a Monte-Carlo simulation to extract monthly log returns with X simulations.

I have the initial t = 0 log price, so theoretically I should just add the log returns to get log prices (E.g. the log price at the end of period t+2 would be log price at t = 0 + log return at t+1 + log return at t+2). I have 600 monthly log returns and would like to create a table that shows monthly log prices for X simulations (meaning that I want the table to adjust if the number of simulations are decreased or increased) How do I do this in an easy way?

Answer 1

[Alan Weiss]

doc cumsum

Alan Weiss

MATLAB mathematical toolbox documentation