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

バージョン 1.1.0.0 (3.83 KB) 作成者: Attilio Meucci
Compounded returns for projection/estimation Linear returns for portfolio aggregation
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更新 2011/5/4

ライセンスの表示

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

引用

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. 取得済み .

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