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by hvollmeier
Wed Oct 13, 2010 11:25 am
Forum: Testing and Simulation
Topic: Five test cases for Correlation studies
Replies: 3
Views: 3893

<This is not a simple topic and it often inflames people's emotions ... Frankly, I don't think there is an argument within the professional investment community of either using price or return to compute correlations. We are interested in risk vs. RETURN and not price. Assuming a price change of 1$ ...