Forecasting Performance with the Harmonic Mean: Long-Term Investment Horizons in Shanghai Stock Exchange

Spyros Missiakoulis, Dimitrios Vasiliou and Nikolaos Eriotis

Review of Applied Economics, 2012, vol. 08, issue 01, 11

Abstract: Portfolio managers favor long-term investment horizons. Their performance is usually forecasted using either the arithmetic mean or the geometric mean. The harmonic mean is generally ignored as an instrument of financial and/or portfolio management. We examine the performance of the harmonic mean employing real life data on SSE180 Index and we compare it with the corresponding performances of arithmetic and geometric means. In all cases, the harmonic mean gave us the best performance.

Keywords: Financial Economics; Marketing; Research Methods/Statistical Methods (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:ags:reapec:143470

DOI: 10.22004/ag.econ.143470

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