问题如下:
On Black Monday in October 1987, the Dow Jones Indus-trial Average fell from the previous close of 2,246.74 to 1,738.74. What was the simple return on this day? What was the log return?
选项:
解释:
The simple return is (1738.74 - 2246.74)/ 2246.74= -22.6%. The
log return is ln 1738.74 - ln 2246.74 = 25.6%.
The difference between the two is increasing in the magnitude.
这里long return应该是负的。