Question 31 (1.25 points) Saved 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) 27.93% b) 32.48% 30.15% d) 25.86% 31.02%