Suppose returns on a stock are lognormally distributed with expected (annualized) mean of of 0.10 and standard deviation of 0.20. What is the standard deviation of simple return on the stock for one month?
A) 0.10
B) 0.34
C) 0.58
D) 0.67

Name: Suppose returns on a stock are lognormally distributed with expected (annualized) mean of of 0.10 and standard deviation of 0.20. What is the standard deviation of simple return on the stock for one month? A) 0.10 B) 0.34 C) 0.58 D) 0.67
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Quizplus · Accepted Answer

The Answer is C

Suppose Returns on a Stock Are Lognormally Distributed with Expected