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?

Question 12 options:

A)

47%.

B)

65%.

C)

53%.

D)

84%.

E)

72%.