Question: Let pt+1 be the log-price of a given asset. The corresponding log-return rt+1 is defined as: rt+1 = pt+1 - pt Assume you have observations

Let pt+1 be the log-price of a given asset. The corresponding log-return

rt+1 is defined as:

rt+1 = pt+1 - pt

Assume you have observations from a sample of size T. Show that the

average log-return r may be computed from the log-prices at times T and

0 only thus disregarding the rest of the observations.

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