Suppose You Own a Risky Asset with an Expected Return

Multiple Choice

Suppose you own a risky asset with an expected return of 12% and a standard deviation of 20%. If the returns are normally distributed, the approximate probability of receiving a return greater than 72%, or less than -48% is:

A) greater than 99%
B) greater than 95%
C) less than 5%
D) less than 1%