Aquaman's Stock Returns Have a Standard Deviation of 0

Multiple Choice

Aquaman's stock returns have a standard deviation of 0.7, and Green Lantern's stock returns have standard deviation of 0.8 The correlation coefficient is 0.1. What is the standard deviation of a portfolio composed of 70 percent Aquaman and 30 percent Green Lantern? Round the answer to five decimal points.

A) 0.32122
B) 0.54562
C) 0.56676
D) 0.75000