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Recursive Measures of Total Wealth and Portfolio Return

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Author Info
Michel Normandin
Pascal St-Amour

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Abstract

This letter presents and assesses a procedure to generate recursive measures of aggregate total wealth and portfolio return. Conceptually, the procedure is more flexible than the classical replacement cost and present value methods. Empirically, the procedure yields recursive measures that appear more realistic than those obtained from the classical methods.

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Paper provided by CIRPEE in its series Cahiers de recherche with number 0338.

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Date of creation: 2003
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Handle: RePEc:lvl:lacicr:0338

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Related research
Keywords: Financial; human; and tangible assets; present value and replacement cost methods;

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Find related papers by JEL classification:
C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. John Heaton & Deborah Lucas, 2000. "Portfolio Choice and Asset Prices: The Importance of Entrepreneurial Risk," Journal of Finance, American Finance Association, vol. 55(3), pages 1163-1198, 06. [Downloadable!] (restricted)
  2. Roll, Richard, 1977. "A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory," Journal of Financial Economics, Elsevier, vol. 4(2), pages 129-176, March. [Downloadable!] (restricted)
  3. John Y. Campbell, 1995. "Understanding Risk and Return," Harvard Institute of Economic Research Working Papers 1711, Harvard - Institute of Economic Research.
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This page was last updated on 2009-11-30.

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