Problem $11-33$ Systematic versus Unsystematic Risk

Consider the following information about Stocks I and II:

State of Economy Probability of State of Economy Rate of Return if State Occurs

Stock I Stock II

Recession $\mathrm{.}26\mathrm{.}05\mathrm{.}31$

Normal $\mathrm{.}50\mathrm{.}22\mathrm{.}11$

Irrational exuberance $\mathrm{.}24\mathrm{.}05\mathrm{.}51$

The market risk premium is $5$ percent and the risk$-$free rate is $3$ percent. $($Do not round intermediate calculations. Enter the standard deviations as a percent and round all answers to $2$ decimal places, e$.$g$.,32\mathrm{.}16.)$