Geometric or Arithmetic Mean: A Reconsideration
An unbiased forecast of the terminal value of a portfolio requires compounding of its initial value at its arithmetic mean return for the length of the investment period. Compounding at the arithmetic average historical return, however, results in an upwardly biased forecast. This bias does not nece...
| Veröffentlicht in: | Financial Analysts Journal. - The Financial Analysts Federation, 1960. - 59(2003), 6, Seite 46-53 |
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| Format: | Online-Aufsatz |
| Sprache: | English |
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2003
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| Zugriff auf das übergeordnete Werk: | Financial Analysts Journal |
| Schlagworte: | Portfolio Management: asset allocation Investment Theory: portfolio theory Quantitative Tools: econometric and statistical methods Mathematics Economics Philosophy |
| Online verfügbar |
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