Consider the following information about Stocks I and II:

State of Economy Probability of State of Economy Rate of Return if State Occurs

Stock I Stock II

Recession $\mathrm{.}30\mathrm{.}05\mathrm{.}30$

Normal $\mathrm{.}45\mathrm{.}22\mathrm{.}10$

Irrational exuberance $\mathrm{.}25\mathrm{.}05\mathrm{.}50$

The market risk premium is $6$ percent, and the risk$-$free rate is $2$ percent. $($Do not round intermediate calculations. Enter your standard deviation answers