Suppose that there are two possible states of the world next year: boom or recession. Suppose that we forecast the following probabilities of these states and the returns to two US stocks, CXW (Corrections Corp of America; a prison stock) and AMR (parent of American Airlines). Calculate the standard deviation of returns to a portfolio invested 30% in CXW, and 70% in AMR. Please give your answer to four decimal places.

STATE	Prob.	R(CXW)	R(AMR)
Boom	0.6	-0.1	0.25
Recession	0.4	0.1	-0.25

prison stock) and AMR (parent of American Airlines). Calculate the standard deviation of returns to a portfolio invested 30% in CXW, and 70% in AMR. Please give your answer to four decimal places. a. 0.0202 b. 0.1421 c. 0.0000 d. 0.1392 e. 0.3731 f. 0.0120 g. 0.0604 h. 0.1095 i. 0.2458 j. None of the above is correct