Bass is considering two portfolios: 1) Portfolio A with a return of 13.7% and a standard deviation of 8% and 2) Portfolio B with a return of 7% and a standard deviation of 3%. Assuming the correlation between A and B is 0.5 and he invests 60% in A and 40% in B, what range of returns should this portfolio produce 95% of the time?

Group of answer choices

Between 0% and 9%.

Between 0% and 22%.

Between -11% and 33%.

Between -6% and 26%.