FRM二级易错题精选:The geometic average return(计算题)

Matt James is assessing the performance of his portflio over the last four years.In computing the average return,he decides to use the geometric average retum since it provides a more conservative retum than the arithmetic mean.The annual retums on his portfolio over each ofthe last four years were 50%,30%,-25%,and-15%.The geometic average return is then closest to:
 
A.5.44%.
 
B.5.59%.
 
C.8.56%.
 
D.10.00%.

FRM二级
 
Answer:B
 
gp=[(1.50)*(1.30)*(0.75)*(0.85)]^1/4-1=5.59%

声明丨本文由FRM考试网(frm.gaodun.cn)精编整理,未经许可不得随意转载或引用。