Financial Toolbox™

Financial Statistics

The discussion of computing statistical values for portfolios containing missing data elements derives from the following references:

[9] Little, Roderick J.A. and Donald B. Rubin, Statistical Analysis with Missing Data, 2nd ed., John Wiley & Sons, Inc., 2002.

[10] Meng, Xiao-Li, and Donald B. Rubin, "Maximum Likelihood Estimation via the ECM Algorithm," Biometrika, Vol. 80, No. 2, 1993, pp. 267-278.

[11] Sexton, Joe and Anders Rygh Swensen, "ECM Algorithms That Converge at the Rate of EM," Biometrika, Vol. 87, No. 3, 2000, pp. 651-662.

[12] Dempster, A.P., N.M. Laird, and Donald B. Rubin, "Maximum Likelihood from Incomplete Data via the EM Algorithm," Journal of the Royal Statistical Society, Series B, Vol. 39, No. 1, 1977, pp. 1-37.

Investment Performance Metrics

Other References