Assume that analysts estimate that stocks A and B have the following distributions of returns: The variance of returns of stock A is 0.0013. The variance of returns of stock B is 0.0103. The correlation of returns of stocks A and B is 0.437. Suppose you can form any portfolio from stocks A and B, with short selling and no leverage. You want expected returns of 16% What will the standard deviation of your portfolio be closest to 0.012 0.023 0.110 0.152