Chapter 1 Asset Returns
1.1 Returns
1.1.1 One-period simple returns and gross returns
(1.1) R t = P t − P t − 1 P t − 1 R_t=\frac{P_t-P_{t-1}}{P_{t-1}} Rt=Pt−1Pt−Pt−1
1.1.2 Multiperiod returns
R t ( k ) = P t − P t − k P t − k R_t(k)=\frac{P_t-P_{t-k}}{P_{t-k}} Rt(k)=Pt−kPt−Pt−k
(1.2) P t P t − k = P t P t − 1 P t − 1 P t − 2 . . . P t − k + 1 P t − k \frac{P_t}{P_{t-k}}=\frac{P_t}{P_{t-1}}\frac{P_{t-1}}{P_{t-2}}...\frac{P_{t-k+1}}{P_{t-k}} Pt−kPt=Pt−1PtPt−2Pt−1...Pt−kPt−k+1
(1.3) R t ( k ) = P t P t − k − 1 = ( R t + 1 ) ( R t − 1 + 1 ) . . . ( R t − k + 1 + 1 ) − 1 R_t(k)=\frac{P_t}{P_{t-k}}-1=(R_t+1)(R_{t-1}+1)...(R_{t-k+1}+1)-1 Rt(k)=Pt−kPt−1=(Rt+1)(Rt−1+1)...(Rt−k+1+1)−1
(1.4) R t ( k ) ≈ R t + R t − 1 + . . . + R t − k + 1 R_t(k)\approx R_t+R_{t-1}+...+R_{t-k+1} Rt(k)≈Rt+Rt−1+...+Rt−k+1
1.1.3 Log returns and continuously compounding
(1.5) r t = l o g P t − l o g P t − 1 = l o g ( P t P t − 1 ) = l o g ( 1 + R t ) r_t=logP_t-logP_{t-1}=log(\frac{P_t}{P_{t-1}})=log(1+R_t) rt=logPt−logPt−1=log(Pt−1Pt)=log(1+Rt)
(1.6) r t ( k ) = r t + r t − 1 + . . . + r t − k + 1 r_t(k)=r_t+r_{t-1}+...+r_{t-k+1} rt(k)=rt+rt−1+...+rt−k+1
A e x p r t ( k ) = A e x p ( r t + r t − 1 + . . . + r t − k + 1 ) = A e k r ‾ A exp{r_t(k)}=A exp(r_t+r_{t-1}+...+r_{t-k+1})=Ae^{k\overline{r}} Aexprt(k)=Aexp(rt+rt−1+...+rt−k+1)=Aekr
r t = l o g ( 1 + R t ) ≈ R t r_t=log(1+R_t)\approx R_t rt=log(1+Rt)≈Rt
lim m → ∞ ( 1 + r m ) m = e r \lim\limits_{m\to\infty}(1+\frac{r}{m})^m=e^r m→∞lim
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