Tag Archives: normally distributed returns
The distribution of financial returns made simple
Why returns have a stable distribution As “A tale of two returns” points out, the log return of a long period of time is the sum of the log returns of the shorter periods within the long period. The log return over a year is the sum of the daily log returns in the year. … Continue reading
Ancient portfolio theory
Before we get to the meat of the subject, I just have to comment on the “modern” of Modern Portfolio Theory. Figure 1: Modern telephone switch Figure 1 shows us a modern telephone switch. As a bonus we get to see some modern women. Why don’t we have “portfolio theory” instead of “Modern Portfolio Theory”? … Continue reading
