A Return Series Has an Arithmetic Mean of 10

Multiple Choice

A return series has an arithmetic mean of 10.5% and standard deviation of 13%. Assuming the returns are normally distributed what is the range of returns that an investor would expect to receive 95% of the time?

A) 10.5% to 13%
B) -2.5% to 23.5%
C) -28.5% to 49.5%
D) -15.5% to 36.5%
E) 0% to 36.5%