Lester has a portfolio with an average return of 13.5 percent and a standard deviation of 14.5 percent. He has a one percent probability of losing ______ percent or more in any given year.

Probability of loss "z" value

1.0 2.326

2.5 1.960

5.0 1.645

A.) -33.97

B.) -38.87

C.) -20.23

D.) -5.04

E.) -8.37