On estimating the rate of return

DOI10.1016/0167-6687(91)90021-OzbMath0736.90005MaRDI QIDQ1814446

C. R. Heathcote, Juerg Hüsler

Publication date: 25 June 1992

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

zbMATH Keywords

Gaussian processcash flowdistribution of the rate of return

Mathematics Subject Classification ID

Related Items (2)

Stochastic models for broker inventory in dealership markets with a cash management interpretation. ⋮ Approximating the time-weighted return: the case of flows at unknown time

Cites Work

• A note on Durbin's formula for the first-passage density
• The first zero of an empirical characteristic function
• Sojourns and extremes of Gaussian processes
• A stochastic Newton-Raphson method
• The first-passage density of a continuous gaussian process to a general boundary
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