• We are pleased to announce that the winner of our Feedback Prize Draw for the Winter 2024-25 session and winning £150 of gift vouchers is Zhao Liang Tay. Congratulations to Zhao Liang. If you fancy winning £150 worth of gift vouchers (from a major UK store) for the Summer 2025 exam sitting for just a few minutes of your time throughout the session, please see our website at https://www.acted.co.uk/further-info.html?pat=feedback#feedback-prize for more information on how you can make sure your name is included in the draw at the end of the session.
  • Please be advised that the SP1, SP5 and SP7 X1 deadline is the 14th July and not the 17th June as first stated. Please accept out apologies for any confusion caused.

Ch 4 p6 - 'semi-variance is proportional to variance' in symmetrical cases

T

tess

Member
Is there any reason the semi-variance is phrased as being 'proportional' to variance if returns on assets are symmetrically distributed?

Would it be more precise to say half the variance?

If semi-variance is proportional to variance, that implies semi-variance = k * variance but here k is specifically 1/2, if returns on assets are symmetrically distributed.
 
Hi Tess,

Yes, you are absolutely correct. Semi-variance is exactly half the variance if the returns on the assets are symmetrically distributed.

This is due to the fact that for a symmetric distribution the mean is equal to the median of the distribution.

Let me know if this helps.

Cheers,
Kaustav
 
You must log in or register to reply here.
Back
Top