As in the previous problem, if the economy is normal, Charleston Freight stock is expected to return 16.5 percent. If the economy falls into a recession, the stocks return is projected at a negative 11.6 percent. The probability of a normal economy is 80 percent while the probability of a recession is 20 percent. What is the standard deviation of the returns on this stock?

4.66 percent

21.56 percent

11.24 percent

12.08 percent

22.77 percent