Normal probability distributionAssuming that the rates of return associated with a given asset investment are normally distributed; that the expected return,

r overbarr,

is

11.2%;

and that the coefficient of variation,

CV,

is

1.04,

answer the followingquestions:

a.Find the standard deviation of returns,

sigma Subscript rr.

b.Calculate the range of expected return outcomes associated with the following probabilities of occurrence: (1) 68%, (2) 95%, (3) 99%.