单选题 The mean return of a portfolio is 20% and its standard deviation is 4%. The returns are normally distributed. Which of the following statements about this distribution are least accurate? The probability of receiving a return:

A. of less than 12% is 0.025.
B. between 12% and 28% is 0.95.
C. in excess of 16% is 0.16.

【正确答案】 C

【答案解析】The probability of receiving a return greater than 16% is calculated by adding the probability of a return between 16% and 20% (given a mean of 20% and a standard deviation of 4% , this interval is the left tail of one standard deviation from the mean, which includes 34% of the observations. ) to the area from 20% and higher (which starts at the mean and increases to infinity and includes 50% of the observations. ) The probability of a return greater than 16% is 34% + 50% = 84%. Note: 0.16 is the probability of receiving a return less than 16%.