WHY THE RETURN NOTION MATTERS

DOI10.1142/S0219024903001797zbMath1079.91026OpenAlexW2126395258MaRDI QIDQ5696842

Gregor Dorfleitner

Publication date: 19 October 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024903001797

zbMATH Keywords

portfolio theoryannualizing of return parameterslog returns vs. simple returns

Mathematics Subject Classification ID

Related Items (3)

On the non-existence of conditional value-at-risk under heavy tails and short sales ⋮ Chaoticity versus stochasticity in financial markets: are daily S\&P 500 return dynamics chaotic? ⋮ SUB-ADDITIVE RECURSIVE "MATCHING" NOISE AND BIASES IN RISK-WEIGHTED INDEX CALCULATION METHODS IN INCOMPLETE MARKETS WITH PARTIALLY OBSERVABLE MULTI-ATTRIBUTE PREFERENCES

Cites Work

• Unnamed Item
• Elements for a theory of financial risks
• FINANCIAL MODELING AND OPTION THEORY WITH THE TRUNCATED LEVY PROCESS
• PORTFOLIO THEORY FOR "FAT TAILS"

This page was built for publication: WHY THE RETURN NOTION MATTERS