Given the following information, what is the standard deviation of stock A if it has an expected return of 30% in a boom economy, an expected return of 18% in a good economy, and an expected return of 2% in a recession? The probabilities of boom, normal, recession are 0.2, 0.6, and 0.2, respectively.

Select one:

a. 0.0703

b. 0.0128

c. 0.0527

d. 0.0891

e. 0.0697