6. Problem 8.06 Click here to read the eBook: Stand-Alone Risk EXPECTED RETURNS Stocks A and B have the following probability distributions of expected future returns: A B Probability 0.2 0.2 0.3 0.2 0.1 (12%) 4 16 (40%) 0 23 30 19 39 47 a. Calculate the expected rate of return, to, for Stock B (ra - 10.90%.) Do not round intermediate calculations. Round your answer to two decimal places. b. Calculate the standard deviation of expected returns, OA, for Stock A (08-28.06%.) Do not round intermediate calculations. Round your answer to two decimal places. % c. Now calculate the coefficient of variation for Stock B. Round your answer to two decimal places. d. Is it possible that most investors might regard Stock B as being less risky than Stock A? 1. If Stock Bis less highly correlated with the market than A, then it might have a higher beta than Stock A, and hence be more risky in a portfolio sense. II. If Stock B is more highly correlated with the market than A, then it might have a higher beta than Stock A, and hence be less risky in a portfolio sense. III. If Stock Bis more highly correlated with the market than A, then it might have a lower beta than Stock A, and hence be less risky in a portfolio sense. IV. If Stock B is more highly correlated with the market than A, then it might have the thyme beta as Stock A, and hence be just as risky in a portfolio sense. V. If Stock is less highly correlated with the market than A, then it might have a lower beta than Stock A, and hence be less risky in a portfolio sense. -Select