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

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%