Suppose that you are considering various portfolios that mix Exxon Mobil stock with American Airlines stock. These are the only two risky assets in the portfolios. Suppose that the expected returns on Exxon Mobil stock are 10% and the standard deviation of returns is 20%. For American Airlines, the expected returns and standard deviation are 6% and 15%, respectively. Returns on the two stocks are perfectly negatively correlated. What is the risk (or, standard deviation of returns) of the least risky portfolio that you can form from the two stocks?

Group of answer choices

10%

6%

8.5%

0

15%