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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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