Axiomatic Characterization of the Time-Weighted Rate of Return

DOI10.1287/MNSC.18.2.B32MaRDI QIDQ5646630zbMATH OpenOpenAlexFDO

Authors Kenneth B. Jun. Gray, Robert B. K. Dewar

Publication date 1971

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.18.2.b32

Mathematics Subject Classification ID

Utility theory (91B16)

Cited in

(7)

• Chisini means and rational decision making: equivalence of investment criteria
• Generalized Makeham's formula and economic profitability
• Approximating the time-weighted return: the case of flows at unknown time
• Benchmark-based evaluation of portfolio performance: a characterization
• The attribution matrix and the joint use of finite change sensitivity index and residual income for value-based performance measurement
• An interval-valued extension of the internal rate of return
• Arithmetic returns for investment performance measurement

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