Assume the annual returns of Fund A are ...

题目

Assume the annual returns of Fund A are normally distributed with a mean and standard deviation of 10%. The annual returns of Fund B are also normally distributed, but with a mean and standard deviation of 20%. The correlation between the returns of the funds is 0.40. At the end of the year, Fund B has returned 30%, and Fund A has returned 12%. Which is NEAREST to the probability that Fund B outperforms Fund A by this much or more?

选项

A.7.00%

B.15.90%

C.33.22%

D.56.04%

答案

C

解析

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