Use the following information to answer the question below.

State	Probability	Return on A	Return on B
Boom	0.2	12%	6%
Normal	0.5	8%	20%
Bust	0.3	4%	-16%

What is the standard deviation of return of a portfolio with weights of 40% in security A and the remainder in security B?

0.048

0.089

0.125

0.101

0.075