If an assetrsquos returns come from a normal distribution


Please mark the following as either True or False

1. If an asset’s returns come from a normal distribution, then the relation between its arithmetic and geometric averages are: E[arithmetic average] = E[geometric average] – 0.5σ2.

2. Relative to a buy and hold strategy, average arithmetic returns overstate the return on a portfolio.

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Financial Management: If an assetrsquos returns come from a normal distribution
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