Assume a world in which the assumptions of portfolio theory hold. In this world only the two risky securities A and B are traded.

The expected return and the level of risk of both securities are given in the table.

The risk$-$free rate is $2\mathrm{.}0\%.$ An investor borrows $100$ and invests $300$ in A $($hence: $300$ long in A$),$ and $300$ in B $($hence: $300$

long in B$).$

The correlation coefficient between the returns of A and $B$ is $0\mathrm{.}00($zero$).$

The standard deviation of a portfolio consisting of the long positions of $300$ in A and $300$ in B only is $25\mathrm{.}5\%.$

What is the level of risk as measured by the standard deviation of the expected returns, $(R),$ of the portfolio of

this investor?

Round your final answer to $2$ decimal places, use a decimal point $($not a comma$)$ and ignore the percentage sign.

For example: You calculate a standard deviation of $0\mathrm{.}12345,$ which is $12\mathrm{.}345\%$ and now give in: $12\mathrm{.}35.$