Variance of property returns : some problems of time-weighted measures
Language: English Series: Journal of Property Valuation and Investment ; 10(2) Winter 1991/92, 541-547(4)Publication details: 10(2) Winter 1991/92, 541-547(4)Subject(s): Summary: 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)| Item type | Current library | Call number | Copy number | Status | Barcode | |
|---|---|---|---|---|---|---|
| Journal article | London Journal article | ABS46074 (Browse shelf(Opens below)) | 1 | Available | 56711-1001 |
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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)