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Variance ('T' Holding Periods; Continuously Compounded Return)
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\(\sigma^{2}(r_{0,T}) = \sigma^{2}\times T\)

  • \(\sigma^{2}(r_{0,T})\) - variance for T periods
  • \(\sigma^{2}\) - variance for one period
  • assumption: returns are independently and identically distributed (IID)