Guinness is considering two portfolios: 1. Portfolio A with a return of 14% and a standard deviation of 14% and 2. Portfolio B with a return of 4% and a standard deviation of 7%. Assuming the correlation between A and B is 0.5 and he invests 70% in A and 30% in B, what range of returns should this portfolio produce 95% of the time? Select one O A. Between 0% and 9%. O B. Between 0% and 22%. OC. Between -6% and 26%. O D. Between -11% and 33%.

Guinness is considering two portfolios: 1 . Portfolio A with a return of 14% and a standard deviation of 14% and 2 . Portfolio B with a return of 4% and a standard deviation of 7%. Assuming the correlation between A and B is 0.5 and he invests 70% in A and 30% in B, what range of returns should this portfolio produce 95% of the time? Select one A. Between 0% and 9%. B. Between 0% and 22%. C. Between 6% and 26%. D. Between 11% and 33%