The volatility of an asset is 25% per annum. What is the standard deviation of the percentage

Question:

The volatility of an asset is 25% per annum. What is the standard deviation of the percentage price change in one trading day? Assuming a normal distribution with zero mean, estimate 95% confidence limits for the percentage price change in one day.

AppendixLO1

Fantastic news! We've Found the answer you've been seeking!

Step by Step Answer:

Related Book For book-img-for-question

Risk Management And Financial Institutions

ISBN: 9781118269039

3rd Edition

Authors: John C. Hull

See More Books

Question Posted: Jul 27, 2024 02:00 AM

See More Questions

The following coefficients define a Fourier series ao = b an == || HI2 bn = 1 2 - sin(n/2) for n1 NA sin[(n 1)/2] 1-n {sin((1 + sin[(n+1)/2]] 1+n /]} for n 2. (1) (2) (3) (4) (a) Using Matlab,...
Here are the data for the past 21 months for actual sales of a particular product: Develop a forecast for the fourth quarter using a three- quarter, weighted moving average. Weight the most recent...
A company can sell q = 1000p2e -0.02(p+5) calculators at a price of p dollars per calculator. The current price is $200. If the price is decreased, will the revenue increase or decrease?
Test for differences between the categories of a qualitative variable. P-36
Carl Beers Enterprises manufactures and sells specialized electronic components to customers across the country. The tables in Figure illustrate some of the records in its accounting databases. Thus,...
The following cases makes different assumptions with respect to the amounts of income and deductions of Meghan Pillet for the current taxation year under the various subdivisions of Division B of the...
2. What revenues are to be expected in 2014 and 2015?
Suppose you wanted to know whether living situation was associated with number of units the student had acquired. Could you do that with this data table? If so, which variables would you use?
3. In class we found the optimal linear predictor of Y based on X = x. The criterion for optimality was minimum mean squared error. In this problem, we will find the best predictor, allowing for non-...
1. Define Image? 2. What is Dynamic Range? 3. Define Brightness? 4. What do you mean by Gray level? 5. What do you mean by Color model? 7. List the hardware oriented color models 8. What is Hue and...
11. Define Resolutions 12. What is meant by pixel? 13. Define Digital image 14. What are the steps involved in DIP? 15. What is recognition and Interpretation?
16. Specify the elements of DIP system 17. List the categories of digital storage 18. What are the types of light receptors? 19. Differentiate photopic and scotopic vision Photopic vision Scotopic...
21. Define subjective brightness and brightness adaptation 22. Define weber ratio 23. What is meant by machband effect? Machband effect means the intensity of the stripes is constant. Therefore it...
A smooth steel ball 1-cm in diameter (W 0.04 N) is fired vertically at sea level at an initial velocity of 1000 m/s. Its drag coefficient is given by Fig. 7.20. Assuming a constant speed of sound...
Outline a general process applicable to most control situations. Using this, explain how you would develop a system to control home delivery staff at a local pizza shop.

The volatility of an asset is 25% per annum. What is the standard deviation of the percentage

Question:

Step by Step Answer:

Risk Management And Financial Institutions

Students also viewed these Business questions