State of Nature.........Probability........State Dependent Return A.........State Dependent Return B Recession....................70%..........................-.08................................................-.04 Expansion....................30%..........................0.28...............................................0.16 What comes closest to the covariance between Stock A and Stock B?

a.

.0028

b.

.0000

c.

.0151

d.

-.0028

e.

.1170

00000000000000000000000000000000000000000000000000000000000000000000000000000000

State of Nature.........Probability........State Dependent Return A.........State Dependent Return B Recession....................70%..........................-.08................................................-.04 Expansion....................30%..........................0.28...............................................0.16 What comes closest to the variance of Stock A and the standard deviation of Stock B?

	a.	Variance of Stock A = .0115, Standard deviation of Stock B = .0917
	b.	Variance of Stock A = .0272, Standard deviation of Stock B = .1033
	c.	Variance of Stock A = .0000, Standard deviation of Stock B = .0000
	d.	Variance of Stock A = .0115, Standard deviation of Stock B = .1033
	e.	Variance of Stock A = .0272, Standard deviation of Stock B = .0917