A stock will have a loss of 13.2 percent in a recession, a return of 11.9 percent in a normal economy, and a return of 26.6 percent in a boom. There is 29 percent probability of a recession, 40 percent probability of normal economy, and 31 percent probability of boom. What is the standard deviation of the stock's returns?

• 11.67%

• 13.34%

• 14.27%

• 15.57%

• 24.23%