Assets A and B have individual asset standard deviations of returns of $15\%$ and $25\%,$

respectively. The correlation coefficient between the two asset returns is $-0\mathrm{.}5.$ If $60\%$ of your

portfolio is invested in Asset A and the remainder in Asset B$,$ what is the two$-$asset portfolio

standard deviation of returns?

Select one:

a$.15\mathrm{.}0\%$

b$.10\mathrm{.}0\%$

c$.9\mathrm{.}5\%$

d$.8\mathrm{.}0\%$

e$.7\mathrm{.}0\%$