MATLAB: Geomean on returns with negative values

geometricmarkowitzmeanportfolio

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

Best Answer

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
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