Historical data suggest the standard deviation of an


Historical data suggest the standard deviation of an all-equity strategy is about 4.1% per month. Suppose the risk-free rate is now 1% per month and market volatility is at its historical level. What would be a maximum monthly fee to a perfect market timer, according to the Black-Scholes formula? (Round your answer to 2 decimal places.)

Maximum monthly fee             %

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Financial Management: Historical data suggest the standard deviation of an
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