Linear vs. Compounded Returns – Common Pitfalls in Portfolio Management
GARP Risk Professional "The Quant Classroom" series 2, pp. 49-51, April 2010

Published On 01/03/2011

Author Name : 

Attilio Meucci

Published Date: 

Friday, Apr 9, 2010

Last Update: 

Monday, Nov 15, 2010

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