STUDY ON THE LONG-TERM RATE OF RETURN WHEN HOLDING RISK ASSET

This paper uses the Monte Carlo method to randomly simulate the rate of return series, and then studies the characteristics of the long-term investment rate of return and its variance. The computing results show that, when compared with the short-term rate of return and its variance, both the long-term rate of return and variance decrease with the increasing of investment term; and when the short-term rate of return is a relatively minor positive value, the long-term rate of return, might be significantly negative. In addition, this paper also studies the long-term rate of return and variance with stop-loss strategy, and the results showed that the stop-loss strategy improve the long-term investment rate of return greatly. The relation between, the distribution of short-term rate of return and that of long-term rate of return is complicated, it is improper to directly and blindly judge the long-term rate of return and variance only according to the distribution of short-term rate of return.