Security 1 : Expected Annual Return = 11% Expected standard Deviation = 25% Correlation between security and the market = 0.6 Security 2 : Expected Annual Return = 11% Expected standard Deviation = 20% Correlation between security and the market = 0.7 Security 3 : Expected Annual Return = 14% Expected standard Deviation = 20% Correlation between security and the market = 0.8 Market : Expected Annual Return = 10% Expected standard Deviation = 15% Correlation between security and the market = 1.0 A Portfolio Consist of 30% security 1, 30% security 2, and 40% security 3 will have the standard deviation of ? a. 0.04384 b. 0.04623 c. 0.167