What Is the Standard Deviation of an Efficient Portfolio with a 7.5

Multiple Choice

What is the standard deviation of an efficient portfolio with a 7.5% expected rate of return, given that RF is 0.50%, ER_m is 6.0% and $\sigma$ _m is 21%?

A) 28.10%
B) 3.56%
C) 1.50%
D) 26.69%