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Unformatted text preview: positive momentum effect to the sequence? Question 3 [3 marks] Let A be the arithmetic mean. Let G be the geometric mean. Let 2 be the variance. i. Show, using 2 returns (where return 1 = x, and return 2 = y) that: A 2 = G 2 + 2 From the answer to Question 3 part i., what does this imply with respect to the following: ii. If there is no variance to asset returns? iii. If the arithmetic mean is maximised, yet the geometric mean is unchanged? iv. The geometric mean is maximised?...
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This note was uploaded on 02/28/2012 for the course ECO 4701 taught by Professor Ahmed during the Spring '11 term at Andhra University.
- Spring '11