Informati pertains to the wing Consider the following information for GDL and SPY (two popular ETFs): State Probability GDL SPY Boom 0.25 10% 25% Normal 0.50 5% 15% Recession 0.25 10% -10% E(R) 7.50% 11.25% O i 2.50% 12.93% Question 11 Assume correctly or incorrectly that the correlation coefficient is -0.3. The volatility of a portfolio that invests 60% in GLD and 40% in SPY is closest to: x A) 6.4% B) 5.6% C) 6.0% D) 4.9%