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

Compounded returns for projection/estimation Linear returns for portfolio aggregation

Versione 1.1.0.0 (3,83 KB)
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4 mag 2011

Al momento, stai seguendo questo contributo

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

Cita come

Attilio Meucci (2026). Linear versus Compounded Returns: Common Pitfalls in Risk and Portfolio Management (https://it.mathworks.com/matlabcentral/fileexchange/31308-linear-versus-compounded-returns-common-pitfalls-in-risk-and-portfolio-management), MATLAB Central File Exchange. Recuperato .

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1.1.0.0

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1.0.0.0