Let r(t) denote the return of an asset in time period t, and assume that time...
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Let r(t) denote the return of an asset in time period t, and assume that time varies over T periods, i.e., t = 1, 2, ..., T-1, T. Let total denote the total return over the T periods. Note that the log return of rater is computed by log[1+r]. Thus, I (1 + Ptotal) = (1 +7(1))(1+r(2)) ... (1 + r(7 1))(1 + r(7)) = [](+r(?)) z=1 Show that maximizing the log return of r(t) also maximizes /total. Let r(t) denote the return of an asset in time period t, and assume that time varies over T periods, i.e., t = 1, 2, ..., T-1, T. Let total denote the total return over the T periods. Note that the log return of rater is computed by log[1+r]. Thus, I (1 + Ptotal) = (1 +7(1))(1+r(2)) ... (1 + r(7 1))(1 + r(7)) = [](+r(?)) z=1 Show that maximizing the log return of r(t) also maximizes /total.
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Microeconomics An Intuitive Approach with Calculus
ISBN: 978-0538453257
1st edition
Authors: Thomas Nechyba
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