An investor is considering investing one-half of his wealth in Asset A and one-half in Asset B. He is not sure how the two assets are correlated. The correlation might be r = +1 or it might be r = -1. If it is r = + 1, then the portfolio standard deviation is 15%. Calculate the portfolio standard deviation if the correlation is r = -1. What is the difference between the standard deviations of Scenario 1 and Scenario 2? (Scenario 1 - Scenario 2)

	Asset A	Asset A	Asset B	Asset B	Correlation
Scenario	Expected Return	Standard Deviation	Expect Return	Standard Deviation	Correlation of A and B
1	10%	20%	5%	10%	+1
2	10%	20%	5%	10%	-1

A) 2.5%

B) 5.0%

C) 7.5%

D) 10.0%

E) 15.0%