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Recursive Measures of Total Wealth and Portfolio Return

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Abstract
This letter presents and assesses a procedure to generate recursive measures of aggregate total wealth and portfolio return. Conceptually, the procedure is more flexible than the classical replacement cost and present value methods. Empirically, the procedure yields recursive measures that appear more realistic than those obtained from the classical methods.

Suggested Citation

  • Michel Normandin & Pascal St-Amour, 2003. "Recursive Measures of Total Wealth and Portfolio Return," Cahiers de recherche 03-06, HEC Montréal, Institut d'économie appliquée.
    • Handle: RePEc:iea:carech:0306
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    File URL: http://www.hec.ca/iea/cahiers/2003/iea0306_mn.pdf
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    References listed on IDEAS

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    1. Roll, Richard, 1977. "A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory," Journal of Financial Economics, Elsevier, vol. 4(2), pages 129-176, March.
    2. Campbell, John Y, 1996. "Understanding Risk and Return," Journal of Political Economy, University of Chicago Press, vol. 104(2), pages 298-345, April.
    3. John Heaton & Deborah Lucas, 2000. "Portfolio Choice and Asset Prices: The Importance of Entrepreneurial Risk," Journal of Finance, American Finance Association, vol. 55(3), pages 1163-1198, June.
    4. John W. Kendrick, 1976. "The Formation and Stocks of Total Capital," NBER Books, National Bureau of Economic Research, Inc, number kend76-1.
    5. Eisner, Robert, 1989. "The Total Incomes System of Accounts," University of Chicago Press Economics Books, University of Chicago Press, edition 1, number 9780226196381, January.
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    More about this item

    Keywords

    financial; human; and tangible assets; present Value and replacement cost methods;
    All these keywords.

    JEL classification:

    • C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access

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