Use this info for the next FIVE problems.

Market Condition Probability Return on A Return on B Return on C

Good .10 35% 10% 22%

Average Day .80 10% 8% 7%

Bad .10 -25% -20% 30%

Helpful Information: E(R) = 5.4%, = 8.49, E(R) = 10.8%, = 7.81

What is the expected return of a portfolio with 40% of the funds invested in B and the rest evenly divided between A and C?

A. 7.1% B. 7.3% C. 7.5% D. 7.8% E. 8.1%