Calculate the Risk (Standard Deviation) of the Following Two-Security Portfolio

Multiple Choice

Calculate the risk (standard deviation) of the following two-security portfolio if the correlation coefficient between the two securities is equal to 0.5. Variance Weight (in the portfolio)
$\begin{array} { l l l } \text { Variance } & & \text { Weight (in the portfolio) } \\\hline \text { Security A } & 10 & 0.3 \\\text { Security B } & 20 & 0.7\end{array}$

A) 17.0 percent
B) 5.4 percent
C) 2.0 percent
D) 3.7 percent