Random rates of growth and return: Introducing the expo-normal distribution

Applied Stochastic Models in Business and Industry

Volumn 18, Issue 1, 2002, Pages 23-51

  De La Grandville, Olivier ^a   Pakes, Anthony G ^b   Tricot, Claude ^a  

^a UNIVERSITY OF GENEVA   (Switzerland)

^b UNIVERSITY OF WESTERN AUSTRALIA   (Australia)

Author keywords

Assett returns; Computation of geometric mean; Expo normal, gamma, log normal laws; Horizon mean rate of return; Robustness to annual return law

Indexed keywords

APPROXIMATION THEORY; COMPUTATION THEORY; FINANCE; PROBABILITY; STATISTICAL METHODS;

RANDOM VARIABLES;

INVESTMENTS;

EID: 0036186933     PISSN: 15241904     EISSN: None     Source Type: Journal    
DOI: 10.1002/asmb.448     Document Type: Article

References (20)

1. The long-term expected rate of return: Setting it right
2. What's the long-term expected return to your portfolio?
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6. A hyperbolic diffusion for stock prices
7. Processes of normal inverse type
8. The mean, median, mode inequality and skewness for a class of densities