Assume the probability of a pessimistic, most likely and optimistic state of nature is .25, .50 and .25, and the returns associated with those states of nature are 10%, 12%, and 14% for asset X. Based on this information, the expected return and standard deviation of return are:

		12.0% and 1.4%
		12.0% and 2.4%
		12.0% and 4.0%
		none of above