Consider the Following Probability Distribution for Stocks a and B

Consider the following probability distribution for stocks A and B: $$\begin{array} { c c c c } \text { State } & \text { Probability } & \text { Return on Stock A } & \text { Return on Stock B } \\1 & 0.10 & 10 \% & 8 \% \\2 & 0.20 & 13 \% & 7 \% \\3 & 0.20 & 12 \% & 6 \% \\4 & 0.30 & 14 \% & 9 \% \\5 & 0.20 & 15 \% & 8 \% \\\hline\end{array}$$ Let G be the global minimum variance portfolio. The weights of A and B in G are __________ and __________, respectively.

A) 0.40; 0.60
B) 0.66; 0.34
C) 0.34; 0.66
D) 0.77; 0.23
E) 0.23; 0.77