Consider the addition of a 2% riskless rate as the fifth asset. For an expected return of 7%, using the five assets and allowing for short selling, what is the minimum standard deviation of return? (Report your answer as a percentage, rounded to two decimal places.

Annualized Mean Annualized Std Dev Country Return (in %) of Return (in %) US UK 6.12 3.12 20.16 15.28 23.11 China 28.02 Canada 8.76 20.13 The pairwise return correlations matrix is: China US UK 1.00 0.72 Canada 0.81 0.45 1.00 US UK China Canada 0.52 1.00 0.73 0.55 1.00 Annualized Mean Annualized Std Dev Country Return (in %) of Return (in %) US UK 6.12 3.12 20.16 15.28 23.11 China 28.02 Canada 8.76 20.13 The pairwise return correlations matrix is: China US UK 1.00 0.72 Canada 0.81 0.45 1.00 US UK China Canada 0.52 1.00 0.73 0.55 1.00