摘要翻译:
历史回报取决于历史收盘价和分布。我们描述了如何从收盘价/分布数据计算调整后的收盘价,重点是电子表格的实现。那么一个证券从一个日期到另一个日期的增长(1+总回报)正好是相应调整后的收盘价的比率。
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英文标题:
《Adjusted Closing Prices》
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作者:
Vic Norton
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最新提交年份:
2011
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Portfolio Management 项目组合管理
分类描述:Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类:Quantitative Finance 数量金融学
二级分类:Pricing of Securities 证券定价
分类描述:Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要:
Historical returns depend on historical closing prices and distributions. We describe how to compute adjusted closing prices from closing price/distribution data with an emphasis on spreadsheet implementation. Then the growth of a security from one date to another (1 + total return) is just the ratio of the corresponding adjusted closing prices.
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PDF链接:
https://arxiv.org/pdf/1105.2956