The Mean Change in the Value of a Portfolio of Trading

Multiple Choice

The mean change in the value of a portfolio of trading assets has been estimated to be 0 with a standard deviation of 20 percent.Yield changes are assumed to be normally distributed. What is the maximum yield change expected if a 95 percent confidence (one-tailed) limit is used?

A) 3.30%.
B) 20.0%.
C) 33.0%.
D) 39.2%.
E) 46.6%.