r_to_gm: Get long-run geometric mean associated with arithmetic mean

Description Usage Arguments Value Examples

View source: R/ptools_geomean_functions.r

Description

This is the exact calculation rather than the gm = r - var /2 approximation. See https://web.stanford.edu/~wfsharpe/mia/rr/mia_rr3.htm

Usage

1
r_to_gm(r, sd)

Arguments

r

Numeric vector of arithmetic returns.

sd

standard deviation

Value

The long-run geometric mean, given r and sd.

Examples

1
r_to_gm(.08, .12)

donboyd5/ptools documentation built on May 13, 2017, 4:34 a.m.