Problem 11-37 Standard Deviation and Beta There are two stocks in the market, Stock A and Stock B. The price of Stock A today is $68. The price of Stock A next year will be $57 if the economy is in a recession. $80 if the economy is normal, and $90 if the economy is expanding. The probabilities of recession, normal times, and expansion are .13,.67, and .20 , respectively. Stock A pays no dividends and has a correlation of 63 with the market portfolio. Stock B has an expected return of 16.7 percent, a standard deviation of 33.3 percent, a correlation with the market portfolio of 17 , and a correlation with Stock A of .29. The market portfolio has a standard deviation of 17.3 percent. Assume the CAPM holds. b- What is the expected return of a portfolio consisting of 65 percent of Stock A and 35 1. percent of Stock B? (Do not round intermediate caiculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) b. What is the standard deviation of a portfolio consisting of 65 percent of Stock A and 2. 35 percent of Stock B? (Do not round Intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) c. What is the beta of the portfolio in part (b)? (Do not round intermediate calculations and round your answer to 3 decimal places, e.g., 32.161.)