The following information applies to a portfolio composed of Fund A and Fund B.
Portfolio weights (%) Fund A 70 Fund B30
Expected returns (%) Fund A 10 Fund B 16
Standard deviations (%) Fund A 7 Fund B 13
Correlation between the returns of Fund A and Fund B 0.80
The portfolio’s standard deviation of return is closest to:
A. 7.38%.
B. 8.80%.
C. 8.35%.