Suppose Returns on a Stock Are Lognormally Distributed with Expected

question 4

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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