Suppose you have the information about the future states of the economy and the expected returns for the two companies HT, USR. Suppose you are going to form an equal weighted portfolio of the two firms. What is the portfolio's return (in %)?

Prob. HT USR

0.1 -27% 6%

0.2 -7% -14%

0.4 15% 3%

0.2 30% 41%

0.1 45% 26%

a. 11.1

b. 10.45

c. 12.4

d. 12.9

e. 10.32