Expected Rate of Return of Investments with Uncertain Timing

$25.00

Expected Rate of Return of Investments with Uncertain Timing
Boris Klebanov, Ph.D.

We develop a systematic approach to studying rates of return of investments in situations where exact timing of transactions is not known. The approach is based on extending the Modified Dietz rate of return. We introduce a concept of the E-rate, which is the expected value of a random rate of return of investments whose cash flow timings are described by a probability distribution.

Expected Rate of Return of Investments with Uncertain Timing
Boris Klebanov, Ph.D.

We develop a systematic approach to studying rates of return of investments in situations where exact timing of transactions is not known. The approach is based on extending the Modified Dietz rate of return. We introduce a concept of the E-rate, which is the expected value of a random rate of return of investments whose cash flow timings are described by a probability distribution.

Reviews

There are no reviews yet.

Only logged in customers who have purchased this product may leave a review.

Free Subscription!

The Journal of Performance Measurement

The Performance Measurement Resource.

Click to Subscribe