Suppose that you have estimated the probability distribution of a hedge fund for next year considering three different scenarios. There is a 40% probability of generating a 30% return (optimistic scenario), a 25% probability of generating a 5% return (flat scenario), and a pessimistic scenario with a negative return of 10%. Calculate with these inputs, the expected value and the standard deviation of this hedge fund?

• a) 9.75% and 17.5%.

• b) 7.75% and 14.75%.

• c) 10.75% and 21.75%.