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

Version 1.1.0.0 (3.83 KB) by Attilio Meucci
Compounded returns for projection/estimation Linear returns for portfolio aggregation
0.0
(0)
1.2K Downloads
Updated 4 May 2011

View License

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

Cite As

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. Retrieved .

MATLAB Release Compatibility
Created with R2010b
Compatible with any release
Platform Compatibility
Windows macOS Linux

Community Treasure Hunt

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

Start Hunting!

LinRetsVsLogRets/

Version Published Release Notes
1.1.0.0

fixed typo
1.0.0.0