The table below provides the return prediction for Carlson Travel Group under two possible states of economy and the probability of each state occurring.

State of Economy	Probability (Pi)	Return (Ri)
Normal	0.65	0.12
Recession	0.35	0.07

Given the information above, the expected return E(R) of the stock is 0.1025. What is the standard deviation of the returns on this stock?

a. 1.19%

b. 2.38%

c. 5.43%

d. 4%