Suppose that the monthly log return of the stock market index is normally distributed with an expected return of 0.0067
Posted: Sat Nov 27, 2021 5:20 pm
Suppose that the monthly log return of the stock market index is
normally distributed with an expected return of 0.0067 and
volatility of 0.0803. If the risk-free rate is 1%(annual,
continuously compounded), what is the probability that the stock
market index underperforms the risk-free asset over 10-year
horizon? Please Use Matlab to solve if possible.
normally distributed with an expected return of 0.0067 and
volatility of 0.0803. If the risk-free rate is 1%(annual,
continuously compounded), what is the probability that the stock
market index underperforms the risk-free asset over 10-year
horizon? Please Use Matlab to solve if possible.