Choose 1 correct answer

1.Under what condition the arithmetic mean and the geometric mean have an equal value?

a. If the realized returns are all equal (so that there is no volatility)

b. If the realized returns are all unequal and positive

c. If the realized returns are all unequal and negative

2.Which of the following does kurtosis measure?

a. Average (mean) of the return distribution

b. Average dispersion of the return distribution

c. Asymmetry of the return distribution

d. Fatness of the return distribution

3.What are the values of skew and regular kurtosis of the actual historical stock return distribution, respesctively?

a)Skew <0; kurtoris >3

b)Skew =0; kurtoris <3

c)Skew =0; kurtoris >3

d)Skew >0; kurtoris <3

4.What is the implication of negative skew in a return distribution?

a. The return distribution has longer and fatter right tail than does the left tail

b. There are higher probabilities to get large negative returns than do positive returns if the market becomes very volatile

c. There are higher probabilities to get large positive returns than do negative returns if the market becomes very volatile

d. The volatility of the returns tends to be small in the negatively skewed distribution