Consider the following information on three stocks A, B and C:
State of Probability of Rate of Return
Economy State Occurring A B C
Boom .2 .20 .35 .60
Normal .6 .15 .12 .05
Bust .2 .01 -.25 -.50
If your portfolio is invested 30 percent each in A and B and 40 percent in C, what is the portfolio expected return? The variance? The standard deviation?
B. 4.30%, .08001, 28.29%
A. 9.16%, .08001, 28.29%
C. 9.16%, .03882, 19.70%
D. 8.72%, .04612, 21.48%