An Investor Can Design a Risky Portfolio Based on Two

Multiple Choice

An investor can design a risky portfolio based on two stocks, A and B. Stock A has an expected return of 21% and a standard deviation of return of 39%. Stock B has an expected return of 14% and a standard deviation of return of 20%. The correlation coefficient between the returns of A and B is 0.4. The risk-free rate of return is 5%.
-The standard deviation of the returns on the optimal risky portfolio is _________.

A) 25.5%
B) 22.3%
C) 21.4%
D) 20.7%