Geomean on returns with negative values?

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riccardo manfredi 2020-1-22

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https://ww2.mathworks.cn/matlabcentral/answers/501435-geomean-on-returns-with-negative-values

评论： riccardo manfredi 2020-1-23

Hi, i need to calculate the geometric mean of financial returns (for a Markowtiz example), but obviously it won't work cause my data contains negative numbers. How can i do? Is there another function or i have to do it manually? Thanks

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采纳的回答

dpb 2020-1-22

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https://ww2.mathworks.cn/matlabcentral/answers/501435-geomean-on-returns-with-negative-values#answer_411456

Use

GR=100*(prod(1+R/100)^(1/numel(R))-1);

where R is the rate of return for the period.

Example:

>> R=[9 1 2 3 -1];                            % sample rate of returns, %
>> GR=100*(prod(1+R/100)^(1/numel(R))-1)      % geometric rate of return
GR =
    2.7458