Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: http://hdl.handle.net/10419/84246
Autoren: 
Apreda, Rodolfo
Datum: 
2011
Reihe/Nr.: 
Serie Documentos de Trabajo 454
Zusammenfassung: 
This paper puts forward an alternative approach to multiplicative models and their assessment of returns out of financial assets. Firstly, it lays down an operative definition but also sets forth a commutative framework of mappings to provide foundations to such a definition. Next, the total return is split down into its linear and non-linear building blocks. Afterwards, a compatibility lemma draws a distinction between what should be meant by linear approximation and linear equivalence to the multiplicative model. Last of all, three empirical examples bring home how to profit from multiplicative models in actual practice.
Schlagwörter: 
multiplicative models of returns
additive models of return
financial assets returns
linear approximation and linear equivalences
JEL: 
G11
G12
G17
G30
ISBN: 
978-987-1062-65-2
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
122.07 kB





Publikationen in EconStor sind urheberrechtlich geschützt.