Let 1 + Rt (4) = (1+Rt)(1+Rt1)(1+Rt2)(1+Rt3) be the gross returns over k periods at time t.

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Let 1 + Rt (4) = (1+Rt)(1+Rt1)(1+Rt2)(1+Rt3) be the gross returns over k periods at time t. Suppose log(1 + Rt) is independently and identically distributed as a normal distribution with mean 0 and variance 22. The probability P (log(1+Rt (4)) 0.5) equals

Posted Date: May 19, 2024 01:11 PM

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Let 1 + Rt (4) = (1+Rt)(1+Rt1)(1+Rt2)(1+Rt3) be the gross returns over k periods at time t.

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