12. Consider a portfolio that consists of an equal investment in 20 firms. For each of these firms,
there is a 70% probability that the firms will have a 16% return and a 30% probability that they
will have a -8% return. Each of these firms' returns is independent of all others. The standard
deviation of this portfolio is closest to:
(A) 8.8%.
(B) 4.2%.
(C) 11.0%.
(D) 2.5%.
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