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

20%

probability that the firm will have a 20% return and a

80%

probability that the firm will have a

30%

return.

The standard deviation for the return on an individual firm is closest to:

A.

20%

B.

10%

C.

8%

D.

20%