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Arithmetic and geometric mean rates of return in discrete time

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Author Info
Arie ten Cate ()
Abstract

This memorandum presents some basic equalities and inequalities about rates of return in discrete time, without auto-correlation. The arithmetic and geometric means are discussed. Estimation of the expected payout and the median payout is discussed, including maximum likelihood estimation.

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File URL: http://www.cpb.nl/eng/pub/cpbreeksen/memorandum/223/memo223.pdf
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Paper provided by CPB Netherlands Bureau for Economic Policy Analysis in its series CPB Memoranda with number 223.

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Date of creation: Apr 2009
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Handle: RePEc:cpb:memodm:223

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Related research
Keywords: rate of return; stocks; finance; financial economics; geometric;

Find related papers by JEL classification:
G0 - Financial Economics - - General
C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables

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This page was last updated on 2009-11-20.

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