美元成本平均收益估算

IF 0.5 Q4 BUSINESS, FINANCE

International Journal of Theoretical and Applied Finance Pub Date : 2021-12-17 DOI:10.1142/S0219024923500036

Hayden Brown

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引用次数: 1

摘要

给定一个几何布朗运动财富过程，构造了一个正则投资计划收益的对数正态下界。这个边界的分布参数是递归计算的。对于美元成本平均(相等的金额在相等的时间间隔)，参数以封闭形式计算。描述了一次性(时间0的单个金额)投资计划，该计划实现了与下界所表示的财富分配相匹配的终端财富分配。结果适用于过去150年标准普尔综合指数的年回报率。在数据分析结果中，当年美元成本平均持续40年以上时，负收益的概率小于2.5%。

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Dollar Cost Averaging Returns Estimation

Given a geometric Brownian motion wealth process, a log-Normal lower bound is constructed for the returns of a regular investing schedule. The distribution parameters of this bound are computed recursively. For dollar cost averaging (equal amounts in equal time intervals), parameters are computed in closed form. A lump sum (single amount at time 0) investing schedule is described which achieves a terminal wealth distribution that matches the wealth distribution indicated by the lower bound. Results are applied to annual returns of the S&P Composite Index from the last 150 years. Among data analysis results, the probability of negative returns is less than 2.5% when annual dollar cost averaging lasts over 40 years.

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来源期刊

International Journal of Theoretical and Applied Finance BUSINESS, FINANCE-

CiteScore

1.10

自引率

20.00%

发文量

期刊介绍： The shift of the financial market towards the general use of advanced mathematical methods has led to the introduction of state-of-the-art quantitative tools into the world of finance. The International Journal of Theoretical and Applied Finance (IJTAF) brings together international experts involved in the mathematical modelling of financial instruments as well as the application of these models to global financial markets. The development of complex financial products has led to new challenges to the regulatory bodies. Financial instruments that have been designed to serve the needs of the mature capitals market need to be adapted for application in the emerging markets.