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宁 · 2020年11月02日

问一道题:NO.PZ2018062016000093

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%

根据公式,结果应除以2,为什么结果是18.61%,而不是为18.61%/2 吗?

2 个答案

星星_品职助教 · 2020年11月03日

@宁 

这道题目是求连续收益率,本身也没有提及跟年化相关的东西。直接用FV=PV×e^r来求就可以了。

不需要考虑是否年化。

星星_品职助教 · 2020年11月02日

同学你好,

没看明白问题...为什么这个公式的结果要除以2?

宁 · 2020年11月03日

是不是不需要年化呀?

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