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初阳二九 · 2022年11月04日

疑问

NO.PZ2018062016000093

问题如下:

The stocks of AAA company have a changing closing price over the last 3 month:

From May to July, the continuously compounded return of AAA company's stocks is:

选项:

A.

18.61%

B.

17.34%

C.

16.89%

解释:

A is correct. Based on definition, for a certain period, the continuously compounded return = the natural log of the period’s change. So we can calculate that: ln(159/132) = 18.61%

1.ppt上的s1/s0=eʳ,但是这里是只有三个月而不是一年,为什么eʳ不用总体再1/4次方(即三个月),r是年名义利率(投资率) 2.题目所求的continuously compounding rate翻译成中文是求什么?

1 个答案

星星_品职助教 · 2022年11月04日

同学你好,

1)continuously compounded return是连续复利计息,即每时每刻都在复利计息。

2)s1/s0=e的r次方这个公式求出来的r和持有期是对应的。例如,本题的持有期是From May to July,求出来的continuously compounded return也是From May to July的连续复利,不需要再年化。题目要计算的也都是对应期间的连续复利,不会有年化的要求。

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NO.PZ2018062016000093问题如下 The stocks of Acompany have a changing closing priover the last 3 month:From Mto July, the continuously compounreturn of Acompany's stocks is:A.18.61%B.17.34%C.16.89%A is correct. Baseon finition, for a certain perio the continuously compounreturn = the naturlog of the perios change. So we ccalculate that: ln(159/132) = 18.61%1.ppt上的s1/s0=eʳ,但是这里是只有三个月而不是一年,为什么eʳ不用总体再1/4次方(即三个月),r是年名义利率(投资率)2.题目所求的continuously compounng rate翻译成中文是求什么?

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