The table below gives statistics relating to a hypothetical three-year record of two portfolios. Based only on

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The table below gives statistics relating to a hypothetical three-year record of two portfolios.
Mean Monthly Return (%) Standard Deviation (%) Excess Kurtosis Skewness Portfolio A 1.1994 -2.2603 6.2584 5.5461 Portfol

Based only on the information in the above table, perform the following:
A. Contrast the distributions of returns of Portfolios A and B.
B. Evaluate the relative attractiveness of Portfolios A and B?

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Quantitative Investment Analysis

ISBN: 978-1119104223

3rd edition

Authors: Richard A. DeFusco, Dennis W. McLeavey, Jerald E. Pinto, David E. Runkle

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