A. -5 %

B. 5.59%

C. 12.5%

D. 25%

Consider an economy with two types of firms, S and I. S firms always move together, but I firms move independently of each other. For both types of firms there is a 50% probability that the firm will have a 20% return and a 50% probability that the firm will have a - 30% return. The standard deviation for the return on a portfolio of 20 type | firms is closest to