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

beiweiy · 2023年04月28日

请问return那个公式是在哪里讲的?没有印象了。

NO.PZ2022070602000022

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%

--------------------------------------------------------------------------------------------------------------------------------

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.

烦请告诉一下视频是哪里讲的,谢谢。

1 个答案
已采纳答案

DD仔_品职助教 · 2023年04月28日

嗨,从没放弃的小努力你好:


同学你好,

这里是连续复利的公式反推,不需要记r的公式,只要记住连续复利公式就能推导出来,请看下图:

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

  • 1

    回答
  • 0

    关注
  • 270

    浏览
相关问题