开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

临江仙 · 2020年03月17日

问一道题:NO.PZ2020021205000062

问题如下:

A stock has an expected return of 15% and a volatility of 20%. The current price of the stock is USD 50,what is the mean and standard deviation of the continuously compounded return over three years?

选项:

解释:

The mean return (annualized) is 0.150.22/2  =  0.130.15-0.2^2/2\;=\;0.13

the standard deviation of the return is

0.2/3  =  0.11550.2/\sqrt3\;=\;0.1155

3年不算 是长期吗?

不是很理解,什么时候return的平均值是 μ-0.5σ^2,什么时候return是μ。


1 个答案
已采纳答案

小刘_品职助教 · 2020年03月18日

同学你好,

在时间十分短的时候return是μ,长期了应该用μ-0.5σ^2,主要是考虑到了再投资。

这个知识点建议同学不用十分纠结,考察的重点应该是前面那个大公式,记住就行了:-)

  • 1

    回答
  • 1

    关注
  • 408

    浏览
相关问题

NO.PZ2020021205000062 问题如下 A stohexpectereturn of 15% ana volatility of 20%. The current priof the stois US50,whis the meanstanrviation of the continuously compounreturn over three years? The mereturn (annualize is 0.15−0.22/2  =  0.130.15-0.2^2/2\;=\;0.130.15−0.22/2=0.13the stanrviation of the return is0.2/3  =  0.11550.2/\sqrt3\;=\;0.11550.2/3​=0.1155 请问这个讲义里,做面u是expectereutrn per ye,右边绿框中的是不是valatility of thre return?

2024-11-18 10:21 1 · 回答

NO.PZ2020021205000062 问题如下 A stohexpectereturn of 15% ana volatility of 20%. The current priof the stois US50,whis the meanstanrviation of the continuously compounreturn over three years? The mereturn (annualize is 0.15−0.22/2  =  0.130.15-0.2^2/2\;=\;0.130.15−0.22/2=0.13the stanrviation of the return is0.2/3  =  0.11550.2/\sqrt3\;=\;0.11550.2/3​=0.1155 这道题可不可以理解为15%和20%是return sample meansample S

2024-11-18 09:59 1 · 回答

NO.PZ2020021205000062问题如下 A stohexpectereturn of 15% ana volatility of 20%. The current priof the stois US50,whis the meanstanrviation of the continuously compounreturn over three years? The mereturn (annualize is 0.15−0.22/2  =  0.130.15-0.2^2/2\;=\;0.130.15−0.22/2=0.13the stanrviation of the return is0.2/3  =  0.11550.2/\sqrt3\;=\;0.11550.2/3​=0.1155和上一题为什么不一样?。。。

2023-03-28 21:25 1 · 回答

NO.PZ2020021205000062 问题如下 A stohexpectereturn of 15% ana volatility of 20%. The current priof the stois US50,whis the meanstanrviation of the continuously compounreturn over three years? The mereturn (annualize is 0.15−0.22/2  =  0.130.15-0.2^2/2\;=\;0.130.15−0.22/2=0.13the stanrviation of the return is0.2/3  =  0.11550.2/\sqrt3\;=\;0.11550.2/3​=0.1155 老师,为什么不用No.PZ2020021205000062的方法?老师,基础讲义470和472页的公式的适用情景分别是什么?这里没学明白,做题感觉很晕,不知道用哪个公式,麻烦讲解下,谢谢您。

2023-02-19 19:02 1 · 回答

NO.PZ2020021205000062问题如下A stohexpectereturn of 15% ana volatility of 20%. The current priof the stois US50,whis the meanstanrviation of the continuously compounreturn over three years? The mereturn (annualize is 0.15−0.22/2  =  0.130.15-0.2^2/2\;=\;0.130.15−0.22/2=0.13the stanrviation of the return is0.2/3  =  0.11550.2/\sqrt3\;=\;0.11550.2/3​=0.1155麻烦老师帮我解答一下 根据这道题,求三年期的stockprice,和上一题求6个月的stoprice。 为什么在上一题求6个月的stoprice是答案说因为这是长期的所以用 lognormstoprice的分布。可是在这题中3年期(比六个月更长),为什么又用回短期的那种平方分法则算mu 和 sigma了呢?如果考试时遇到这种时间问题,多长时间算长期以及短期呢

2022-04-07 17:41 1 · 回答