TY  - JOUR
AB  - Suggests that 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. Notes that the use of a measure based on the arithmetic
mean seems an uncomfortable compromise. Shows that measures based on the
geometric mean are also systematically biased in the case of log normal
returns. Concludes that this can have major consequences for investment
decision‐making and portfolio selection.
VL  - 10
IS  - 2
SN  - 0960-2712
DO  - 10.1108/14635789210031190
UR  - https://doi.org/10.1108/14635789210031190
AU  - Lizieri Colin
AU  - Satchell Stephen
PY  - 1992
Y1  - 1992/01/01
TI  - The Variance of Property Returns: Some Problems of
Time‐Weighted Measures
T2  - Journal of Property Valuation and Investment
PB  - MCB UP Ltd
SP  - 541
EP  - 547
Y2  - 2024/04/20
ER  -