Linear versus Compounded Returns: Common Pitfalls in Risk and Portfolio Management

Compounded returns for projection/estimation Linear returns for portfolio aggregation
1.2K Downloads
Updated 4 May 2011

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To walk through the code and for a thorough description, refer to
A. Meucci, (2010) "Linear versus Compounded Returns: Common Pitfalls in Risk and Portfolio Management",

Latest version of code and article available at http://symmys.com/node/141

Cite As

Attilio Meucci (2024). Linear versus Compounded Returns: Common Pitfalls in Risk and Portfolio Management (https://www.mathworks.com/matlabcentral/fileexchange/31308-linear-versus-compounded-returns-common-pitfalls-in-risk-and-portfolio-management), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2010b
Compatible with any release
Platform Compatibility
Windows macOS Linux

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Version Published Release Notes
1.1.0.0

fixed typo

1.0.0.0