Question 15 (1 point) You are building a portfolio. There are three states of the world: low (30.00% probability), average (50.00% probability), and high (20.00% probaility). The expected returns for stock A are 10.00%, 15.00%, and 25.00% for each state of the world respectively. For stock B the expected returns are 7.00%, 15.00%, 50.00% for the same states respectively. What is the standard deviation of the portfolio if the portfolio is a 50/50 compositon of A and B and the correlation is .80 2.36% 10.01% 0.01% 3.70%