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q-fin.PM2011★ 2 cited
Adjusted Closing Prices
Vic Norton
Historical returns depend on historical closing prices and distributions. We describe how to compute adjusted closing prices from closing price/distribution data with an emphasis o…
q-fin.PM2011
Notional portfolios and normalized linear returns
Vic Norton
The vector of periodic, compound returns of a typical investment portfolio is almost never a convex combination of the return vectors of the securities in the portfolio. As a resul…