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|a (JST)4480527
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|a DE-627
|b ger
|c DE-627
|e rakwb
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|a eng
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|a Jacquier, Eric
|e verfasserin
|4 aut
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|a Geometric or Arithmetic Mean: A Reconsideration
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|c 2003
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|a Text
|b txt
|2 rdacontent
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|a Computermedien
|b c
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|a Online-Ressource
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|a 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 necessarily disappear even if the sample average return is itself an unbiased estimator of the true mean, the average is computed from a long data series, and returns are generated according to a stable distribution. In contrast, forecasts obtained by compounding at the geometric average will generally be biased downward. The biases are empirically significant. For investment horizons of 40 years, the difference in forecasts of cumulative performance can easily exceed a factor of 2. And the percentage difference in forecasts grows with the investment horizon, as well as with the imprecision in the estimate of the mean return. For typical investment horizons, the proper compounding rate is in between the arithmetic and geometric values.
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|a Copyright 2003 Association for Investment Management and Research
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|a Portfolio Management: asset allocation
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|a Investment Theory: portfolio theory
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|a Quantitative Tools: econometric and statistical methods
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|a Mathematics
|x Pure mathematics
|x Arithmetic
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|a Economics
|x Economic disciplines
|x Financial economics
|x Finance
|x Financial investments
|x Investment analysis
|x Investment horizon
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|a Economics
|x Economic disciplines
|x Financial economics
|x Finance
|x Financial investments
|x Financial portfolios
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|a Mathematics
|x Applied mathematics
|x Statistics
|x Statistical theories
|x Estimation theory
|x Estimation bias
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|a Mathematics
|x Pure mathematics
|x Algebra
|x Arithmetic mean
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|a Economics
|x Economic disciplines
|x Financial economics
|x Finance
|x Financial investments
|x Investment returns
|x Investment return rates
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|a Mathematics
|x Applied mathematics
|x Statistics
|x Applied statistics
|x Inferential statistics
|x Statistical estimation
|x Estimation methods
|x Estimators
|x Unbiased estimators
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|a Mathematics
|x Pure mathematics
|x Arithmetic
|x Cumulativity
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|a Philosophy
|x Applied philosophy
|x Philosophy of science
|x Scientific method
|x Research variables
|x Research biases
|x Sampling bias
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|a Mathematics
|x Pure mathematics
|x Probability theory
|x Probabilities
|x Probability forecasts
|x Portfolio Management
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|a research-article
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|a Kane, Alex
|e verfasserin
|4 aut
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|a Marcus, Alan J.
|e verfasserin
|4 aut
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|i Enthalten in
|t Financial Analysts Journal
|d The Financial Analysts Federation, 1960
|g 59(2003), 6, Seite 46-53
|w (DE-627)340878940
|w (DE-600)2066328-6
|x 0015198X
|7 nnns
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|g volume:59
|g year:2003
|g number:6
|g pages:46-53
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|u https://www.jstor.org/stable/4480527
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|d 59
|j 2003
|e 6
|h 46-53
|