A Portfolio Consists of Two Securities: Nervy and Goofy

Multiple Choice

A portfolio consists of two securities: Nervy and Goofy.The expected return of Nervy is 12 percent with a standard deviation of 15 percent.The expected return of Goofy is 9 percent with a standard deviation of 10 percent.What is the portfolio standard deviation if 35 percent of the portfolio is in Nervy and the two securities have a correlation of 0.6?

A) 9.02%
B) 10.52%
C) 11.75%
D) 12.18%