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Arithmetic and geometric mean rates of return in discrete time

Author

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  • Arie ten Cate

Abstract

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.

Suggested Citation

  • Arie ten Cate, 2009. "Arithmetic and geometric mean rates of return in discrete time," CPB Memorandum 223, CPB Netherlands Bureau for Economic Policy Analysis.
    • Handle: RePEc:cpb:memodm:223
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    File URL: https://www.cpb.nl/sites/default/files/publicaties/download/memo223.pdf
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    Cited by:

    1. Helena Jasiulewicz & Wojciech Kordecki, 2016. "Multiplicative parameters and estimators: applications in economics and finance," Annals of Operations Research, Springer, vol. 238(1), pages 299-313, March.
    2. Helena Jasiulewicz & Wojciech Kordecki, 2016. "Multiplicative parameters and estimators: applications in economics and finance," Annals of Operations Research, Springer, vol. 238(1), pages 299-313, March.

    More about this item

    JEL classification:

    • G0 - Financial Economics - - General
    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables

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