You Own a Portfolio Comprised of 4 Stocks and the Economy

Multiple Choice

You own a portfolio comprised of 4 stocks and the economy has 3 possible states.Assume you invest your portfolio in a manner that results in an expected rate of return of 7.5 percent,regardless of the economic state.Given this,what must be value of the portfolio's variance be?

A) negative, but not -1
B) -1.0
C) 0.0
D) 1.0
E) positive, but not +1