Suggests that the use of the geometric mean as a measure of averagereturn on investment presents problems for estimating the variance as ameasure of risk. Notes that the use of a measure based on the arithmeticmean seems an uncomfortable compromise. Shows that measures based on thegeometric mean are also systematically biased in the case of log normalreturns. Concludes that this can have major consequences for investmentdecisionmaking and portfolio selection.
Journal of Property Valuation and Investment – Emerald Publishing
Published: Feb 1, 1992
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