Suppose that in Problem 21.3 the bid–offer spreads for the two companies are normally distributed. For Company A the bid–offer spread has a mean of 0.01 and a standard deviation of 0.01. For Company B the bid–offer spread has a mean of 0.02 and a standard deviation of 0.03. What is the cost of unwinding that the investor is 95% confident will not be exceeded?

AppendixLO1