Approximating the time-weighted return: the case of flows at unknown time

DOI10.1016/J.INSMATHECO.2019.10.006zbMATH Open1431.91332OpenAlexW2983062909WikidataQ126853496 ScholiaQ126853496MaRDI QIDQ2292174FDOQ2292174

Authors: Marco Guzzetti 

Publication date: 3 February 2020

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2019.10.006

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zbMATH Keywords

portfolioinvestmentcash flowperformance attributiontime-weighted return

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Portfolio theory (91G10)

Cites Work

• Title not available (Why is that?)
• Arithmetic returns for investment performance measurement
• Axiomatic Characterization of the Time-Weighted Rate of Return
• On estimating the rate of return
• Chisini means and rational decision making: equivalence of investment criteria

Cited In (3)

• Optimal investment problem for an open-end fund with dynamic flows
• What is the time value of a stream of investments?
• Arithmetic returns for investment performance measurement

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