Suppose Returns on a Stock Are Lognormally Distributed with Expected

question 16

Multiple Choice

Suppose returns on a stock are lognormally distributed with expected (annualized) mean of of 0.10 and standard deviation of 0.20.What is the expected continuously compounded return on the stock for one month?

• A)0.100%
• B)0.333%
• C)0.833%
• D)1.667%

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