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Log returns do not aggregate across assets. Suppose we take asset A with a simple return of r A t + 1 = 0 .
Log returns do not aggregate across assets. Suppose we take asset A with a simple return of r
A
t
and asset B with a simple return of r
B
t
What are the log returns of them?
If we hold a portfolio of asset A and asset B what is the log return of this portfolio? Is
the log return of the portfolio the same with the weighted average of each stocks log returns?
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