Emma Li is considering investing in two securities, A and B, and the relevant information is given below: State of Economy Probability Return on Security A (%) Return on Security B (%) Bear 0.2 4 1.2...

Extracted text: Emma Li is considering investing in two securities, A and B, and the relevant information is given below: State of Economy Probability Return on Security A (%) Return on Security B (%) Bear 0.2 4 1.2 Bull 1-0.2 10 1.2 Suppose Emma borrowed from her friend 99 shares of security B, which is currently sold at $74, and sold all shares of the security. (She promised her friend she would pay her back in a year with the same number of shares of security B). Then she bought security A with the proceeds obtained in the sales of security B shares and the cash of $2,549 she owned. Calculate the standard deviation of her portfolio. Report your answer in decimal form, rounded to 4 decimal points.