Indiana Jones Intends to Form a Portfolio with Two Securities

Multiple Choice

Indiana Jones intends to form a portfolio with two securities: Virtual and Real.Virtual has an expected return of 25 percent with a standard deviation of 5 percent.Real has an expected return of 12 percent with a standard deviation of 16 percent.The correlation between the two securities is 0.2.What is the portfolio standard deviation if the portfolio has an expected return of 20 percent?

A) 0.55%
B) 1.08%
C) 7.41%
D) 10.40%