| PDF (399kB) |
- URN to cite this document:
- urn:nbn:de:bvb:355-epub-38121
- DOI to cite this document:
- 10.5283/epub.3812
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 ...
Owner only: item control page
Download Statistics