Consider the following probability distribution for Stocks A and B: State Probability Return on Stock A Return on Stock B 1 0.10 10% 8% 2 0.20 13% 7% 3 0.20 12% 6% 4 0.30 14% 9% 5 0.20 12% 8% Assume that the variance of stock A is 0.00021 and the variance of stock B is 0.00012. The coefficient of correlation between Stock A and Stock B is a. 0.60 Ob. 0.58 OC -0.60 O d. 0.36 Oe. 1.20