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The mean change in the yield that affects the value of a portfolio of trading assets has been estimated to be 0.23 with a standard
The mean change in the yield that affects the value of a portfolio of trading assets has been estimated to be 0.23 with a standard deviation of 25 percent. Yield changes are assumed to be normally distributed. What is the maximum yield change expected if a 97.5 percent confidence (one-tailed) limit is used? In other words, at what yield that we have 97.5% confidence that the actual yield change will not exceed this threshold level?
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