An Analysis of a Generalization of the Modified Dietz Rate of Return

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An Analysis of a Generalization of the Modified Dietz Rate of Return
Boris Klebanov, Ph.D.

The rate of return defined by the Modified Dietz formula (in this paper it is called the D-rate) can be naturally extended over situations where the transaction times are random variables. In this paper we study some properties of the rates of return that come about upon making such an extension.

An Analysis of a Generalization of the Modified Dietz Rate of Return
Boris Klebanov, Ph.D.

The rate of return defined by the Modified Dietz formula (in this paper it is called the D-rate) can be naturally extended over situations where the transaction times are random variables. In this paper we study some properties of the rates of return that come about upon making such an extension.

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