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Rates of return of investments whose timings are specified by a probability distribution
The Engineering Economist ( IF 1.2 ) Pub Date : 2019-11-26 , DOI: 10.1080/0013791x.2019.1680784
Boris Klebanov 1
Affiliation  

Abstract In this paper we describe an approach for calculating the rates of return of investments whose timing is uncertain. In the framework of the approach, we calculate the expected value of the rate of return. We extend the deterministic Endpoints and Modified Dietz rate of return models by viewing the investments transaction timings as random variables. Our main working assumption is that the transaction timings are uniformly distributed in a certain time interval. We study a series of new rate of return models that have a wide range of practical applications. Our results generalize some well-known rate of return formulas, including the renowned Modified Dietz formula. The models introduced in this paper provide one-period rates of return compliant with the Global Investment Performance Standards (GIPS) requirements. They can be used for GIPS-compliant calculations.

中文翻译:

时间由概率分布指定的投资回报率

摘要 在本文中,我们描述了一种计算时间不确定的投资回报率的方法。在该方法的框架内,我们计算收益率的期望值。我们通过将投资交易时间视为随机变量来扩展确定性端点和修正迪茨收益率模型。我们的主要工作假设是交易时间在某个时间间隔内均匀分布。我们研究了一系列具有广泛实际应用的新收益率模型。我们的结果概括了一些众所周知的收益率公式,包括著名的修正迪茨公式。本文介绍的模型提供符合全球投资绩效标准 (GIPS) 要求的单期收益率。
更新日期:2019-11-26
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