Question: Asset A's log-returns are normally distributed with mean 8% and standard deviation of 20%. Asset B's log-returns are normally distributed with mean 5% and standard

Asset A's log-returns are normally distributed with mean 8% and standard deviation of 20%. Asset B's log-returns are normally distributed with mean 5% and standard deviation of 10%. Assume that the log-returns between these two assets have a correlation of -0.25. The investor has the following utility function: U(W) = 2W0.5. The investor has an investment horizon of 2 years. Compute the probability of loss for a portfolio with 20% allocated to Asset A and 80% to Asset B. Group of answer choices 0.0211 0.1412 0.3421 0.5865

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