Suppose there are two possible risky assets. There is Stock A that has an expected return of 10.00% with a standard deviation of 15.00% and Stock B that has an expected return of 16.00% with a standard deviation of 28.00%. Assuming the two risky assets have a -0.20 correlation, and that the risk-free rate is 3.00%, what would be the standard deviation on the minimum variance portfolio (using the previously calculated minimum variance portfolio weights)? Group of answer choices

11.99%

18.41%

12.35%

20.23%

The minimum variance portfolio in Stock A is 73.75%, Weight of stock B = 309/1,177 = 26.25%