What is the standard deviation of a portfolio that is invested 60% in stock A and 40% in stock B, given the following information?

Economic State	Probability of State	Return on Stock A	Return on Stock B
Normal	50%	13%	3%
Recession	50%	-8%	8%

A) 3.87%

B) 4.13%

C) 4.86%

D) 5.30%

E) 5.72%