Arithmetic and geometric mean rates of return in discrete time

Arie ten Cate

No 223, CPB Memorandum from CPB Netherlands Bureau for Economic Policy Analysis

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.

JEL-codes: C2 G0 (search for similar items in EconPapers)
Date: 2009-04
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Citations: View citations in EconPapers (2)

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