Risk and Compound Return
Seminar on the Analysis of Security Prices, May 13-14, 1976
46 Pages Posted: 29 Mar 2014
Date Written: May 1976
Abstract
The geometric mean or compound return is (generally) the appropriate measure of multi-period return. Given intertemporally independent and indentically distributed returns over time, then we will show that: a) compound return is asymptotically normal, N-period terminal wealth is asymptotically lognormal; b) median N-period terminal wealth is asymptotically a direct function of expected compound return; c) expected compound return decreases as a function of the number of periods.
Suggested Citation: Suggested Citation
Michaud, Richard O., Risk and Compound Return (May 1976). Seminar on the Analysis of Security Prices, May 13-14, 1976, Available at SSRN: https://ssrn.com/abstract=2416905 or http://dx.doi.org/10.2139/ssrn.2416905
Do you have negative results from your research you’d like to share?
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.