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Why the Return Notion Matters

Dorfleitner, Gregor (2003) Why the Return Notion Matters. International Journal of Theoretical & Applied Finance 6 (1), pp. 73-86.

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Abstract

Returns can be defined as log returns or as simple returns. Whereas on a numerical level the difference between these two terms is small as long as the return values are close to zero, there can be non-negligible differences if we look at expected values and (co)variances in a stochastic context. This paper examines the consequences of mixing up the two return terms when variances and ...

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Export bibliographical data

Item Type:Article
Date:February 2003
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzierung (Prof. Dr. Gregor Dorfleitner)
Research groups and research centres:Immobilien- und Kapitalmärkte, Immobilien- und Kapitalmärkte
Subjects:300 Social sciences > 330 Economics
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Unknown
Owner: Gregor Dorfleitner
Deposited On:18 Jun 2008 10:08
Last Modified:19 Jul 2010 12:34
Item ID:3812
Owner Only: item control page
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