Tag Archives: arithmetic return vs geometric return
The half variance approximation for mean returns
What’s that thing about arithmetic and geometric returns and the variance? Previously An introduction to the difference between simple and log returns is: A tale of two returns Issue Suppose you are predicting the mean annual return of an asset for some number of years. To simplify the discussion, let’s buy into the fantasy that … Continue reading
A tale of two returns
It was the best of times, it was the worst of times. As you may have guessed, this is a mashup of a novel by Charles Dickens and an explanation of financial returns. The key plot element of A Tale of Two Cities is that there are two men, Charles Darnay and Sydney Carton, who … Continue reading
Posted in Quant finance, R language
Tagged aggregate returns, arithmetic return, arithmetic return vs geometric return, continuously compounded returns, geometric return, geometric return vs arithmetic return, gross return, log return, log return vs simple return, net return, simple return, simple return vs log return, total return
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