Arithmetic and geometric mean rates of return in discrete time

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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Year of publication:	2009-04
Authors:	Cate, Arie ten
Institutions:	Centraal Planbureau (CPB), Government of the Netherlands

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Extent:	application/pdf
Series:	CPB Memorandum.
Type of publication:	Book / Working Paper
Language:	English
Classification:	G0 - Financial Economics. General ; C2 - Econometric Methods: Single Equation Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004980310