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Suppose the Returns on a Stock Are Lognormally Distributed With \mu

Question 9

Multiple Choice

Suppose the returns on a stock are lognormally distributed with μ=0\mu = 0 and σ=0.2\sigma = 0.2 . The expected three-month simple returns on the stock are


A) 0.
B) 0.25%
C) 0.50%
D) 1.01%

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