A Portfolio Consists of Stock C with an Expected Return

Multiple Choice

A portfolio consists of Stock C with an expected return of 10 percent and a standard deviation of 45 percent and Stock D with an expected return of 13 percent and a standard deviation of 56 percent. The portfolio is equally-weighted between the two stocks, and the correlation between the two stocks is zero. What is the smallest expected loss of the portfolio over the next month with a probability of 5 percent?

A) -19.62%
B) -14.32%
C) -8.43%
D) -16.10%
E) -11.37%