What would be maximum monthly fee to perfect market timer

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Reference no: EM131909169

Historical data suggest the standard deviation of an all-equity strategy is about 4.3% 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?

Reference no: EM131909169

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