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%
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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.
烦请告诉一下视频是哪里讲的,谢谢。