1) Consider the following probability distribution for stocks A and B: State Probability Return on Stock A Return on Stock B 1 0.10 10% 8% 2 0.20 13% 7% 3 0.20 12% 6% 4 0.30 14% 9% 5 0.20 15% 8% The coefficient of correlation between A and B is: Note: Do not round intermediate calculations. A) 0.47. B) 0.60. C) 0.58. D) 1.20. E) None of the options are correct