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

30%

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

70%

probability that the firm will have a

30%

return.

The standard deviation for the return on a portfolio of 20 type I firms is closest to:

A.

22.91%

B.

5.12%

C.

15%

D.

11.46%