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Suppose that the monthly log return of the stock market index is normally distributed with expected return and volatility of 0.0059 and 0.0662, respectively. If
Suppose that the monthly log return of the stock market index is normally distributed with expected return and volatility of 0.0059 and 0.0662, respectively. If the risk-free rate is 1% (annual, continuously compounded), what is the probability that the stock market index underperforms the risk-free asset over a 10-year investment horizon (percentage point, round to first decimal place)?
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