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Why the Return Notion Matters

URN to cite this document:
urn:nbn:de:bvb:355-epub-38121
DOI to cite this document:
10.5283/epub.3812
Dorfleitner, Gregor
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Date of publication of this fulltext: 05 Aug 2009 13:45


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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