I am trying (with no luck so far) to calculate the variance of future value of a portfolio. $E= \frac{(1+r)[(1+r)^{t}-1]}{r}$, $r$ is normally distributed random variable.
How to calculate $\text{Var}(E)$?
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$\begingroup$ voters: I believe a post about Var(g(r)) is on topic here. $\endgroup$– Glen_bCommented Mar 22, 2015 at 9:18
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$\begingroup$ Boris, please check the edited mathematics says what you intend. $\endgroup$– Glen_bCommented Mar 22, 2015 at 9:20
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$\begingroup$ the equation above is FV (future value), that is the expected value. this is E[FV]. the quastion is what is VAR[FV]? $\endgroup$– Boris LivshitsCommented Mar 23, 2015 at 7:44
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$\begingroup$ Future value is not E(Future value). E(future value) = $E\left(\frac{(1+r)[(1+r)^{t}-1]}{r}\right)$, where $r\sim N(\mu_r,\sigma^2_r)$. That expectation is not trivial. $\endgroup$– Glen_bCommented Mar 23, 2015 at 8:45
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$\begingroup$ What do you mean "That expectation is not trivial"? $\endgroup$– Boris LivshitsCommented Mar 23, 2015 at 9:01
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