There are only two possible states of the economy. State 1 has a 79.00% chance of occurring. In State 1, Asset A returns 5.00% and Asset B returns 8.00%. In State 2, Asset A returns -3.00% and Asset B returns -6.00%. A portfolio of just these two assets is invested31.00% in Asset A (with Asset B comprising the remainder without any negative weights). What is the standard deviation of the portfolio's returns? Group of answer choices

5.70%

6.07%

4.94%

3.26%