11. Consider a world in which the standard assumptions of the CAPM hold. Next to a risk-free security with 3% interest, two risk-bearing securities are traded in this world. The securities are A and B; the following data are available for these securities: The correlation coefficient between the returns of A and B is 0 . An in this world operating investor X has an amount of wealth 40.000. For this investor, the optimal portfolio (portfolio OPT) has an expected return of 6%. Question: What is the standard deviation of the return of portfolio OPT? a. 10% b. 12% c. 15% d. 20%