请问return那个公式是在哪里讲的？没有印象了。

问题如下：

A portfolio manager is calculating the realized return and the historical volatility of returns for the stock of company VMG. The stock ended the month of June 2021 at a price per share of INR 280, and ended the month of December 2021 at INR 320. The manager reports that the monthly volatility of the stock returns over the 6-month period was 2.76%. Assuming continuous compounding, and that the stock’s returns are independent over time, what are the realized return over the 6-month period and the volatility of the stock returns per year?

选项：

A.

The realized return is 12.5%, and the annual volatility is 9.6%.

B.

The realized return is 12.5%, and the annual volatility is 33.1%.

C.

The realized return is 26.7%, and the annual volatility is 9.6%.

D.

The realized return is 26.7%, and the annual volatility is 33.1%.

解释：

中文解析：

C正确。

T=6 months = 0.5

S0=280

ST = 360

所以，已实现的收益率= (1/T)*ln(ST/S0) = 2*ln(320/280) = 0.2671 = 26.7%

年化波动率=s/sqrt(Δt) = 0.0276*(sqrt(12)) = 0.0276*(sqrt(0.08333)) =0.0956 = 9.6%

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C is correct:

Given:

T = 6 months = 6/12 = 0.5

S0 = 280

ST = 360

Therefore,

• Realized return = (1/T)*ln(ST/S0) = 2*ln(320/280) = 0.2671 = 26.7%

• Volatility per year = s/sqrt(Δt) = 0.0276*(sqrt(12)) = 0.0276*(sqrt(0.08333)) =

0.0956 = 9.6%.

A is incorrect. 12.5% incorrectly calculates the realized return on the stock as the price

change over the period divided by the price at the end of the period (INR 40 / INR 320).

B is incorrect. 33.1% (= 2.76% * 12) is the result of not using the square root rule to

determine the annual volatility. The return of 12.5% is calculated as described in A above.

D is incorrect. The annual volatility is incorrectly calculated as described in B above.