Suppose Returns on a Stock Are Lognormally Distributed with Expected

question 5

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 standard deviation of simple return on the stock for one month?

• A) 0.10
• B) 0.34
• C) 0.58
• D) 0.67

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