The standard deviation of Woolworth's share price is $15\%$ and that of Reckon's shares is $15\%.$ When I hold both shares in my portfolio and the returns have zero correlation, the overall standard deviation of returns of the portfolio is:

Question $3$Answer

a$.$

Cannot say for sure.

b$.$

more than $15\%.$

c$.$

unchanged at $15\%.$

d$.$

less than $15\%.$