Which of the Following Is a Correct Expression Concerning the Formula

Multiple Choice

Which of the following is a correct expression concerning the formula for the standard deviation of returns of a two asset portfolio where the correlation coefficient is positive?

A) $\sigma$ ²rp < (W₁² $\sigma$ ₁² + W₂² $\sigma$ ₂²)
B) $\sigma$ ²rp = (W₁² $\sigma$ ₁² + W₂² $\sigma$ ₂²)
C) $\sigma$ ²rp = (W₁²₁² - W₂² $\sigma$ ₂²)
D) $\sigma$ ²rp > (W₁² $\sigma$ ₁² + W₂² $\sigma$ ₂²)