Annualizing Volatility and Return
The WPA accounts that discrete returns are log-normally distributed.
Since discrete returns are log-normally distributed, the logarithms of one plus the discrete returns (continuous returns) are normally distributed. We can account for this property and its effects on compounding when annualizing estimates, please see
Annualizing Volatility and Return.pdf
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Annualizing Volatility and Return
Last modified 3yr ago