You have a portfolio which is comprised of 65 percent of stock A and 35 percent of stock B. What is the standard deviation of this portfolio?

State of the Economy Probability A B

Boom 0.50 22% 19%

Normal 0.30 12% 10%

Recession 0.20 -26% -4%

a.

6.41 percent

b.

5.68 percent

c.

12.02 percent

d.

14.85 percent

e.

4.39 percent