Amr has $50,000 to invest and has decided to invest $10,000 in the stock of ABC and the rest in YUL. The standard deviation of the returns of ABC is 8% while the standard deviation for YUL is 14%. He is happy to see that the correlation between the two stocks is negative and is -0.15. The standard deviation of the portfolio is closest to:

a)11.07%

b)11.19%

c)11.31%

d)11.55%

e)Cannot be determined, we need the covariance between the two stocks.

(Risk, return and portfolio theory)