Assume the probability of a pessimistic, most likely and optimistic state of nature is .25, .55 and .20, and the

returns associated with those states of nature are 5%, 10%, and 13% for asset Y. Based on this information, the

expected return, standard deviation, and coefficient of variation for asset Y are: (Pick the closest answer.)

a. 10.50%, 2.96% and 0.395 respectively

b. 10.35%, 2.86% and 0.345 respectively

c. 9.35%, 7.63% and 0.816 respectively

d. 9.35%, 2.76% and 0.295 respectively