"Portfolio Management":Portfolio Risk and Return: Part I
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Questions 1:
Based on the information in the table, which of the following is closest to the geometric mean annual return for the full period of 2010–2014?
A 、0.90%
B、 1.75%
C、 0.35%
Questions 2:
A portfolio has the following returns:
The sample variance of the portfolio is closest to:
A 、0.23%.
B、 0.36%.
C、 0.28%.
C is correct. The geometric mean annual return is computed multiplicatively as the nth root of the holding period.
C is correct. The sample variance is calculated as the sum of squared deviations from the arithmetic mean.
A is incorrect. This is the calculation for population variance, which differs from the calculation for sample variance by the use of N in the denominator.
B is incorrect. The correct calculation requires subtraction of the mean before the values are squared and summed. This calculation is the sum of squares of the returns, not of the deviations.
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