An investor is considering investing in a combination of risk-free asset and risky portfolio J. The risk-free rate is currently 3%. The expected return of portfolio J is 15% with the expected standard deviation of 17%. What would be the expected standard deviation of the combination of the risk-free asset and portfolio J that will provide the investor with an expected return of 7%?

X A: 0.32% X B: 5.67% X C: 11.33% X D: 1.28% X E: You need additional information to answer this question.

Please let me know the correct option with PROPER EXPLANATION & STEP-BY-STEP WORKINGS