A

$$50$ million

$9\%$

$1\mathrm{.}75\%$

B

$$30$ million

$12\%$

$2\mathrm{.}10\%$

What is the risk on the financial institution's loan portfolio if returns are uncorrelated $($i$.$e$.$ rho $=$

$0?$

$1\mathrm{.}88\%$

$0\mathrm{.}00\%$

$1\mathrm{.}47\%$

$1\mathrm{.}35\%$

$1\mathrm{.}97\%$