What Is the Risk (Standard Deviation of Returns) on the Bank's

Multiple Choice

What is the risk (standard deviation of returns) on the bank's loan portfolio if loan returns are uncorrelated (ρ = 0) ?

A) 1.41 percent.
B) 1.63 percent.
C) 0.93 percent.
D) 3.57 percent.
E) 1.18 percent.