The returns to Security A and Security B depend on the state of the economy. There are three possible states. Probability Security A Security B State 1 10.3 2 10 State 2 0.5 16 4 State 3 10.2 12 0 Security A has an expected return equal to percent and a standard deviation equal to percent A portfolio that consists of 3000 dollars invested in Security A and 1000 dollars invested in Security B will have an expected return equal to percent and a standard deviation equal to percent. At the end of the year this portfolio will have 77 a value equal to dollars. A financial analyst can predict the state of the economy. She offers to rebalance your portfolio so that you are always holding the best possible security but she will take a portion of your return. The maximum return you are willing to pay is equal to percent