A Portfolio Has a Standard Deviation of 15 $\begin{array}{cr}\text { Probability } & \text { "z" value } \\\text { of loss } & \\1.0\% & 2.326 \\2.5 & 1.960 \\5.0 & 1.645\end{array}$

question 74

Multiple Choice

A portfolio has a standard deviation of 15.8% and an average return of 14.2%. What loss is associated with a 2.5% probability?
$\begin{array}{cr}\text { Probability } & \text { "z" value } \\\text { of loss } & \\1.0\% & 2.326 \\2.5 & 1.960 \\5.0 & 1.645\end{array}$

• A)12.03%
• B)14.87%
• C)16.77%
• D)17.38%
• E)19.36%