Calculate the Risk (Standard Deviation)of the Following Two-Security Portfolio If

Multiple Choice

Calculate the risk (standard deviation) of the following two-security portfolio if the correlation coefficient between the two securities is equal to 0.5.
$\begin{array}{lll}\underline{\text { Variance } }&&\underline{ \text { Weight (in the portfolio) }}\\\text { Security A } & 10 & 0.3 \\\text { Security B } & 20 & 0.7\end{array}$

A) 17.0 percent
B) 5.4 percent
C) 2.0 percent
D) 3.7 percent