State Probability rm rj
Recession 0.3 -10% 40%
Normal 0.4 10% -20%
Boom 0.3 30% 30%
Given the probability distributions above, what are the expected returns for the Market and Security J?
A. 10.0%, 11.3%
B. 9.5%, 13.0%
C. 10.0%, 9.5%
D. 10.0%, 13.0%
E. 13.0%, 10.0%