You invest X0=$1million today, with an investment horizon of 10 years (120 months). Monthly returns are normally distributed, and the value of the portfolio at the end of the period is X120(a random variable).

Consider the following two statements:

• Statement A: X120is lognormally distributed
• Statement B: exp(X120) is normally distributed

Are both statements correct?

Select one:

a.Yes

b.No, Statement 1 is incorrect

c.No, Statement 2 is incorrect