Question
Calculate:A) Risk-Free rate (In continuous time)B) Sharpe Ratio (annual)Notes: 72 days of maturity. Average daily log-return Annualized log-return Standard deviation on daily log-returns Annualized volatility
Calculate:A) Risk-Free rate (In continuous time)B) Sharpe Ratio (annual)Notes: 72 days of maturity.
Average daily log-return Annualized log-return Standard deviation on daily log-returns Annualized volatility of log-returns T-Bill Risk Return -0.255% -0.891% 3.001% 47.632% Risk-free rate (QUOTE) 0.020% 91-day T-bill Price ($) $ 99.99 Effective Annual Yield 0.020% Risk-free rate (in continuous time) Sharpe Ratio (annual)
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Corporate Finance Core Principles and Applications
Authors: Stephen Ross, Randolph Westerfield, Jeffrey Jaffe, Bradford Jordan
5th edition
1259289907, 978-1259289903
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