Given the probabilities of expected states of the economy shown here, and the expected returns to stocks

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Given the probabilities of expected states of the economy shown here, and the expected returns to stocks A and B in those states, what is the standard deviation of a portfolio with weights of 40 percent in stock A and the remainder in stock B?

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a. 1.0029%

b. 1.0474%

c. 1.0527%

d. 1.3004%

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