Mean-Variance Approximations To The Geometric Mean
This paper uses two databases to test the ability of six functions of arithmetic mean and variance to approximate geometric mean return or, equivalently, Bernoulli's expected log utility. The two databases are: (1) a database of returns on frequently used asset classes, and (2) that of real returns on the equity markets of sixteen countries, 1900–2000. Three of the functions of arithmetic mean and variance do quite well, even for return series with large losses. The other three do less well.
Volume (Year): 07 (2012)
Issue (Month): 01 ()
|Contact details of provider:|| Web page: http://www.worldscinet.com/afe/afe.shtml|
|Order Information:|| Email: |
When requesting a correction, please mention this item's handle: RePEc:wsi:afexxx:v:07:y:2012:i:01:p:1250001-1-1250001-30. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Tai Tone Lim)
If references are entirely missing, you can add them using this form.