13. Using the probability distribution shown below, calculate the expected risk and return estimates of a portfolio comprised of 50% of Stock X and 50% of Stock Y.

State of economy Probability of state Stock X's return Stock Y's return

Recession 30% -10% 20%

Normal 70% 10% 12%

A) The portfolio has an expected return of 10.70% and a standard deviation of 2.50%.

B) The portfolio has an expected return of 9.20% and a standard deviation of 2.75%.

C) The portfolio has an expected return of 10.70% and a standard deviation of 0.46%.

D) The portfolio has an expected return of 8.60% and a standard deviation of 9.24%.