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Department of Applied Finance and Actuarial Studies

Seminar by Graham Partington

Research Seminars - business and economics
  • Topic: Transformation of returns to the time domain: The case of doubling times
  • Speaker: Graham Partington, Associate Professor in Finance, Sydney University School of Business
  • Venue:E4A 623
  • When: 3rd May, 2013, (Fri)
  • Time: 11.30am - 12.30pm (Morning Tea from 11am)

This paper examines the re-expression of returns in the time domain through the analysis of doubling times. Several uses for the doubling time metric are suggested and it is shown that the expected time for an investment to double can be calculated from harmonic means, or by Monte Carlo simulation. Doubling times can be used to provide an alternative calculus for portfolio optimisation. Two alternative risk metrics are suggested for doubling times and the use of either can reproduce the Markowitz efficient frontier.

View the full paper "Transformation of returns to the time domain: The case of doubling times" (PDF)


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