Say ... a portfolio with 2 stocks (50-50). For the 2 stocks, I have their 3-yr geometric annualized returns. How do I find the portfolio 's 3-yr geometric annualized returns?
we all know it's not the weighted average of the 2 stocks' geometric returns. I've googled, but only found "approximation". Anyone knows the formula? (Excel command is even better)
Thanks作者: bkballa 时间: 2011-7-24 00:49
Can't you just convert each geometric return to a holding period return, then use the weighted average to get a portfolio return, then re-convert it to a geometric return?
