You have been given this probability distribution for the expected return for Cheese, Inc. stock:

Stock of the Economy	Probability			Expected Return
Boom		0.20			12	%
Normal growth		0.55			7	%
Recession		0.25			1	%

Assuming that the expected return on Cheese's stock is 6.5%, what is the ex-ante standard deviation of these returns?

Select one:

A.

1.38%

B.

3.71%

C.

4.76%

D.

3.80%

E.

None of the options are correct.