Concepts, Theory, and Techniques ON THE USE OF THE GEOMETRIC MEAN IN LONG‐TERM INVESTMENT
作者:
David C. Cheng,
Marvin J. Karson,
期刊:
Decision Sciences
(WILEY Available online 1985)
卷期:
Volume 16,
issue 1
页码: 1-13
ISSN:0011-7315
年代: 1985
DOI:10.1111/j.1540-5915.1985.tb01471.x
出版商: Blackwell Publishing Ltd
关键词: Capital‐Asset Pricing Model;Portfolio Analysis;Statistical Techniques
数据来源: WILEY
摘要:
ABSTRACTApplication of the geometric mean to holding‐period returns is discussed from a statistical theory standpoint. The population geometric mean is considered a parameter of the probability distribution of returns its relationship to moments of the distribution is discussed. The sample geometric mean and its relation to sample moments is assessed through its sampling distribution it is viewed as an estimator of the population geometric mean. For application to long‐term investment where a geometric mean is maximized, the distributional properties of the geometric mean should be used. The terms statistic, approximation, and parameter are differentia
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