Question: Use the following information to answer the question below. State Probability Return on A Return on B Boom 0.2 12% 6% Normal 0.5 8% 20%

Use the following information to answer the question below.

State

Probability

Return on A

Return on B

Boom

0.2

12%

6%

Normal

0.5

8%

20%

Bust

0.3

4%

-16%

What is the standard deviation of return of a portfolio with weights of 40% in security A and the remainder in security B?

0.048

0.089

0.125

0.101

0.075

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