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Quant Nugget 2: Linear vs. Compounded Returns – Common Pitfalls in Portfolio Management

GARP Risk Professional, pp. 49-51, April 2010

5 Pages Posted: 9 Apr 2010 Last revised: 15 Nov 2010

Attilio Meucci

ARPM - Advanced Risk and Portfolio Management

Date Written: May 1, 2010

Abstract

Linear and compounded returns are at times used interchangeably: this practice has dangerous repercussions on risk and portfolio management.

JEL Classification: C1, G11

Suggested Citation

Meucci, Attilio, Quant Nugget 2: Linear vs. Compounded Returns – Common Pitfalls in Portfolio Management (May 1, 2010). GARP Risk Professional, pp. 49-51, April 2010 . Available at SSRN: https://ssrn.com/abstract=1586656

Attilio Meucci (Contact Author)

ARPM - Advanced Risk and Portfolio Management ( email )

HOME PAGE: http://www.arpm.co/

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