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Continuously compounded nominal and real returns
・ Continuously embedded
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Continuously compounded nominal and real returns : ウィキペディア英語版
Continuously compounded nominal and real returns

==Nominal return==
Let ''P''''t'' be the price of a security at time ''t'', including any cash dividends or interest, and let ''P''''t'' − 1 be its price at ''t'' − 1. Let ''RS''''t'' be the simple rate of return on the security from ''t'' − 1 to ''t''. Then
: 1 + RS_=\frac}.
The continuously compounded rate of return or instantaneous rate of return ''RCt'' obtained during that period is
: RC_=\ln\left (\frac}\right ).
If this instantaneous return is received continuously for one period, then the initial value ''P''''t-1'' will grow to P_t = P_ \cdot e^ during that period. See also continuous compounding.
Since this analysis did not adjust for the effects of inflation on the purchasing power of ''P''''t'', ''RS'' and ''RC'' are referred to as nominal rates of return.

抄文引用元・出典: フリー百科事典『 ウィキペディア(Wikipedia)
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