a****y
发帖数: 4 | 1 I got a question like following (capital asset pricing model (CAPM) may be
used)
A stock has beta of 2.0 and stock specific daily volatility of 0.02. Suppose
that yesterday’s
closing price was 100 and today the market goes up by 1%. What’s the
probability of
today’s closing price being at least 103? |
m*********d
发帖数: 3 | 2 The probability is close to normal distribution N(-0.5) which is about 0.3. |
a****y
发帖数: 4 | 3 wanna know how to calculate, thx a lot
【在 m*********d 的大作中提到】
: The probability is close to normal distribution N(-0.5) which is about 0.3.
|
l*******1
发帖数: 113 | 4 expectation of the stock price is 100*(1+2*0.01)=102
standard deviation is 2%, which is 2
103 is 0.5 standard deviation away,
1-N(0.5)=31% |
