Consider a portfolio with w invested in asset X and 1 w invested in asset Y for w (0, 1). The volatility of each asset is the same and equals to 0.2. The correlation coefficient between the two asset returns is 0. Express the portfolio variance as a function of w and find the value w that yields the minimum portfolio variance, i.e. p2(w). Select the best answer that corresponds to the minimum portfolio volatility, p(w):

(a) 18.33% (b) 25.13% (c) 14.14% (d) 50.01%