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Eva · 2020年10月06日

问一道题:NO.PZ2018062016000093 [ CFA I ]

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%

请问Ln的结果和CAGR是一回事吗?
2 个答案

星星_品职助教 · 2022年02月12日

@naomi_jin

公式为continuously compounded return=Ln(末期价格PT/ 初期价格P0),本题即为Ln(159/132).

计算器先计算159/132,然后直接按LN即可得到答案0.1861

星星_品职助教 · 2020年10月06日

同学你好,

Ln的结果对应的是continuously compounded return

数量里没有涉及到CAGR的定义。但正常来讲,这两个不是一回事。

naomi_jin · 2022年02月12日

请问continuously compounded return是用计算器算出来的么,具体怎么按?

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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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