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Multiperiod analysis of a levered portfolio

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Abstract

The notion of Internal Financial Law for an investment is introduced. Through this generalization of the IRR a general notion of outstanding capital is obtained. After the introduction of a generalized version of NPV a decomposition of this parameter is offered which is strictly connected to the notion of ROE.

Some applications to yield averaging for portfolios is provided.

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Authors and Affiliations

  1. Turin and “Bocconi” Universities, Turin, Italy

    Lorenzo Peccati

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  1. Lorenzo Peccati
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Peccati, L. Multiperiod analysis of a levered portfolio. Rivista di Matematica per le Scienze Economiche e Sociali 12, 157–166 (1989). https://doi.org/10.1007/BF02085598

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  • DOI: https://doi.org/10.1007/BF02085598

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