Computing returns 21Multi-period simple returns
Multi-period log returns()∏
− =−+
−−+− −− −−−+ = + + + =====+1 01111 21)(^1) (
)
1
)...(
1
)(
(^1) (
...
1
h j
j t h t t t
h
ht t
t t
t t
h
t t
t
r
r
r
r
P P
P P
P P
P P
h
r ()
∑
− =−+
−−− + − − − −−=+++== − + + − + − ==−=1 0111211
...)ln(ln...
)ln(ln
)ln(lnlnlnh jj t h t t th t h t t t t th
tttyyyyP P P P P PPPh
ySingle-period random cash flows: Stocks