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You have determined that your continuously compounded return is 5% with a 25% standard deviation. What are your expected 1, 5, and 10 year returns?
You have determined that your continuously compounded return is 5% with a 25% standard deviation. What are your expected 1, 5, and 10 year returns? What are the standard deviations of those returns? What are the 5%, 1%, and 0.1% VaR total returns for each time period? What are the corresponding wealth relatives? Interpret the wealth relatives you have calculated.
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