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