You decide to invest in a portfolio consisting of 40 percent Stock A, 40 percent Stock B, and the remainder in Stock C. Based on the following information, what is the expected return of your portfolio? What is the standard deviation? State of Economy Probability of State Return if State Occurs of Economy Stock A Stock B Stock C Recession .18 - 18.6 % - 3.8 % - 22.7 % Normal .55 10.4 % 8.4 % 17.0 % Boom .27 28.4 % 15.7 % 31.6 %

A. 10.05%, 12.47%

B. 10.5%, 15.6%

C. 11.5%, 9.6%

D. 9.8%, 10.9%