State Prob. TA rB Recession 0.25 -0.01 0.08 Normal 0.5 0.10 0.06 Boom 0.25 0.17 0.04 Expected Return: 0.09 0.06 Consider the probability distribution above. (Note that the expected returns of A and B have already been computed for you.) Calculate the standard deviation of the returns to B: O A. Less than or equal to 1% O B. Greater than 1% but less than or equal to 2% O C. Greater than 2% but less than or equal to 3% O D. Greater than 3%