If the Standard Deviation of the Continuously Compounded Returns on the Asset

question 25

Multiple Choice

If the standard deviation of the continuously compounded returns on the asset is 20 percent and the interval is one half of a year, then the downside change is equal to

• A)−37.9 percent.
• B)−19.3 percent.
• C)−20.1 percent.
• D)−13.2 percent.