An investor holds two securities in her current portfolio. The first security has an expected return of $8\%$ and a standard deviation of $10\%.$ The second security has an expected return of $12\%$ and a standard deviation of $20\%.$ The covariance of these two securities is $-0\mathrm{.}02.$ On this investor$$s investment opportunity set formed from these two securities$,$ the global minimum variance portfolio has a standard deviation that is always:

An investor holds two securities in her current portfolio. The first security has an expected return of $8\%$ and a standard deviation of $10\%.$ The second security has an expected return of $12\%$ and a standard deviation of $20\%.$ The covariance of these two securities is $-0\mathrm{.}02.$ On this investor$$s investment opportunity set formed from these two securities$,$ the global minimum variance portfolio has a standard deviation that is always:

equal to $30\%$

greater than zero

equal to $1$

equal to zero

equal to $-1$

equal to $10\%$