Variance of property returns : some problems of time-weighted measures
Lizieri, C.
Variance of property returns : some problems of time-weighted measures - 10(2) Winter 1991/92, 541-547(4) - Journal of Property Valuation and Investment 10(2) Winter 1991/92, 541-547(4) .
The use of the geometric mean as a measure of average return on investment presents problems for estimating the variance as a measure of risk, and use of a measure based on the arithmetic mean seems an uncomfortable compromise. Measures based on the geometric are also shown to be systematically biased in the case of log normal returns : a case study shows that this can have major consequences for investment decision making and portfolio selection. References. (Journal abstract)
ARITHMETIC MEAN
GEOMETRIC MEAN
INVESTMENT ANALYSIS
PROPERTY INVESTMENT
RETURNS
Variance of property returns : some problems of time-weighted measures - 10(2) Winter 1991/92, 541-547(4) - Journal of Property Valuation and Investment 10(2) Winter 1991/92, 541-547(4) .
The use of the geometric mean as a measure of average return on investment presents problems for estimating the variance as a measure of risk, and use of a measure based on the arithmetic mean seems an uncomfortable compromise. Measures based on the geometric are also shown to be systematically biased in the case of log normal returns : a case study shows that this can have major consequences for investment decision making and portfolio selection. References. (Journal abstract)
ARITHMETIC MEAN
GEOMETRIC MEAN
INVESTMENT ANALYSIS
PROPERTY INVESTMENT
RETURNS