Question 21 (2 points) An investor can design a risky portfolio based on two assets, A and B. Asset A has an expected return of 15% and a standard deviation of return of 40%. Asset B has an expected return of 10% and a standard deviation of return of 20%. The correlation coefficient between the returns of A and B is .70. The investor allocates 40% in Asset A and 60% in Asset B to form the optimal risky portfolio, what is the optimal risky portfolio's standard deviation? a) 31.02% Ob) 30.15% c) 32.48% d) 27.93% 25.86%