The evaluation of the portfolio performance is usually computed using the Modified Dietz approach. We propose an alternative approach. In our model, the average capital invested (ACI) is no more the sum of the cash flows time-adjusted, but it is the weighted average of the capital invested in each subperiod, using weights given by the length of the subperiod in which the capital is invested. This approach is able to provide a reasonable rate of return even with large volatility of periodical cash flows

A modification of the modified Dietz approach

CUCURACHI, PAOLO ANTONIO;POMANTE, UGO
2013

Abstract

The evaluation of the portfolio performance is usually computed using the Modified Dietz approach. We propose an alternative approach. In our model, the average capital invested (ACI) is no more the sum of the cash flows time-adjusted, but it is the weighted average of the capital invested in each subperiod, using weights given by the length of the subperiod in which the capital is invested. This approach is able to provide a reasonable rate of return even with large volatility of periodical cash flows
Cucurachi, PAOLO ANTONIO; Pomante, Ugo
File in questo prodotto:
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11565/3975326
 Attenzione

Attenzione! I dati visualizzati non sono stati sottoposti a validazione da parte dell'ateneo

Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
social impact