Use the following information to answer the question below.

State	Probability	Return on A	Return on B
Boom	0.3	14%	7%
Normal	0.6	5%	18%
Bust	0.1	8%	-11%

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

a) 0.029

b) 0.034

c) 0.018

d) 0.061

e) 0.048