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?
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? A.7.00%; B.15.90%; C.33.22%; D.56.04%