# Tag Info

## New answers tagged log-returns

0

If I have understood your question correctly then you might be interested in the following paper: Weber, A. E. Annual risk measures and related statistics. Applied paper Ortec Finance Research Center (8 2017). You should be able to download a copy here.

0

For an simple approximation (which is not particularly useful if you want values to be asymptotically close around $N$), $$\ln\left(\frac{\max\left(L,H\right)}{0.01}\right)\tanh\left(k\left(x-N\right)\right)$$ or $$\ln\left(\frac{\max\left(L,H\right)}{0.01}\right)\operatorname{erf}\left(k\left(x-N\right)\right)$$ are suitable. If you want an asymptotic ...

Top 50 recent answers are included