Summary: 1/9
Chapter 2. Cashflows.
Manual for SOA Exam FM/CAS Exam 2.
Chapter 2. Cashflows.
Section 2.4. Dollar­weighted and time­weighted rates of
return.
c 2009. Miguel A. Arcones. All rights reserved.
Extract from:
"Arcones' Manual for the SOA Exam FM/CAS Exam 2,
Financial Mathematics. Fall 2009 Edition",
available at http://www.actexmadriver.com/
c 2009. Miguel A. Arcones. All rights reserved. Manual for SOA Exam FM/CAS Exam 2.
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Chapter 2. Cashflows. Section 2.4. Dollar­weighted and time­weighted rates of return.
Dollar­weighted and time­weighted rates of return
If the cashflow
Investments V0 C1 C2 · · · Cn
Time 0 t1 t2 · · · tn
has future value FV at time t, then its equation of value is
FV = V0(1 + i)t

Source: Arcones, Miguel A. - Department of Mathematical Sciences, State University of New York at Binghamton

Collections: Mathematics