Simple Returns vs Log Returns foundational
One aggregates exactly across assets, the other aggregates exactly across time. Most mistakes come from asking one definition to do both jobs.
One aggregates exactly across assets, the other aggregates exactly across time. Most mistakes come from asking one definition to do both jobs.
Register to Read
Sign up for a free account to access all 112 primer topics.
Create Free AccountAlready have an account? Sign in
References
The Elements of Quantitative Investing
Giuseppe A. Paleologo
(2025)
— John Wiley & Sons
A New Interpretation of Information Rate
J. L. Kelly
— WORLD SCIENTIFIC
Empirical properties of asset returns: stylized facts and statistical issues
R. Cont
(2001)
— Quantitative Finance