Suppose Returns on a Stock Are Lognormally Distributed with Expected

question 1

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 simple return on the stock for one month?

• A) 0.83
• B) 1.01
• C) 1.08
• D) 1.13

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Antitrust Laws

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Department of Justice

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