Indiana Jones Intends to Form a Portfolio with Two Securities

Multiple Choice

Indiana Jones intends to form a portfolio with two securities: Virtual and Real.Virtual has an expected return of 25.0% with a standard deviation of 5.0%.Real has an expected return of 12.0% with a standard deviation of 16.0%.The correlation between the two securities is 0.2.What is the portfolio standard deviation if the portfolio has an expected return of 20.0%?

A) 0.55%
B) 1.08%
C) 7.41%
D) 10.40%