Arithmetic returns for investment performance measurement

DOI10.1016/J.INSMATHECO.2014.02.005zbMath1296.91254OpenAlexW3125656494MaRDI QIDQ743169

Carlo Alberto Magni

Publication date: 22 September 2014

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.02.005

zbMATH Keywords

meaninvestmentinternal rate of returnarithmetic returnperformance attributiontime weighted rate of return

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (3)

Capital depreciation and the underdetermination of rate of return: a unifying perspective ⋮ The attribution matrix and the joint use of finite change sensitivity index and residual income for value-based performance measurement ⋮ Approximating the time-weighted return: the case of flows at unknown time

Cites Work

• Generalized Makeham's formula and economic profitability
• Axiomatic Characterization of the Time-Weighted Rate of Return

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