单选题 An analyst does research about common probability. A return distribution has a mean of 1.8% and a variance of 2.25. If returns are normally distributed, the probability of observing a return value less than -1.2% is closest to:
A. 1.0%
B. 2.5%
C. 5%

【正确答案】 B

【答案解析】[解析] (-1.2%-1.8%)/2.25^1/2%=-2，正态分布如果落在均值附近1.96个标准差以内的概率大约是95%，则落在两边的概率各是2.5%。