State Prob. TB 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.) What is the correlation coefficient (rho AB) of assets A and B? O A. Greater than or equal to -1.0 but less than -0.5 O B. Greater than or equal to -0.5 but less than 0 O C. Greater than or equal to 0 but less than 0.5 O D. Greater than or equal to 0.5 but less than or equal to 1.0