Assume an investors index of risk-aversions is 2. If both Portfolios A and B are on the same indifference curve, Portfolio As expected return is 8% and its standard deviation is 20%, and Portfolio Bs expected return is 5%, the standard deviation of Portfolio B would be ______%.

Select one:

a.

10.0%

b.

12.0%

c.

11.0%

d.

13.0%

e.

14.00%