Return on Return on

State Probability Security A Security B

Boom .3 12% -2%

Normal .6 8% 2%

Bust .1 4% 6%

What is the standard deviation of a portfolio with weights of 60% in security A and the remainder in security B? A. 0.5% B. 0.9% C. 1.5% D. 2.3% E. 6.4%