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An investor can design a risky portfolio based on two stocks, A and B. The standard deviation of return on stock A is 20% while

An investor can design a risky portfolio based on two stocks, A and B. The standard deviation of return on stock A is 20% while the standard deviation on stock B is 5%. The correlation coefficient between the return on A and B is 0%. The standard deviation of return on the minimum variance portfolio is __________.

A. 0%

B. 4.15%

C. 4.85%

D. 5.00%

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