Consider an investment opportunity set formed with two securities with correlation of 0 (no correlation). The global-minimum variance portfolio has a standard deviation that is Select one:

a. smaller than the standard deviation of any of the two securities.

b. between the standard deviations of the two securities.

c. None of the options are correct.

d. equal to the weighted sum of the two securities' standard deviations.

e. equal to the weighted sum of the securities' standard deviations and covariance.