2. Historical data suggest that the standard deviation of an all-equity strategy is about 5.5% per month.

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2. Historical data suggest that the standard deviation of an all-equity strategy is about 5.5% per month. Suppose that the risk-free rate is now 1% per month and that market volatil- ity is at its historical level. What would be a fair monthly fee to a perfect market timer, based on the Black-Scholes formula?

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Investments

ISBN: 9780072339161

5th Edition

Authors: Zvi Bodie, Alex Kane, Alan J. Marcus

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