Q.84 The returns from a portfolio are as shown in the table below.
| Time | Price |
|------|-------|
| 0 | 100 |
| 1 | 98.56 |
| 2 | 98.65 |
| 3 | 97.76 |
| 4 | 96.50 |
| 5 | 100.56 |
What is the value of continuously compounded return at time 3? | Financial Risk Manager Part 1 Quiz - LeetQuiz
Financial Risk Manager Part 1
Explanation:
The continuously compounded return is given by:
rt=lnPt−lnPt−1
So that:
r3=lnP3−lnP2=ln97.76−ln98.65=−0.91%
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Q.84 The returns from a portfolio are as shown in the table below.
Time
Price
0
100
1
98.56
2
98.65
3
97.76
4
96.50
5
100.56
What is the value of continuously compounded return at time 3?
