The stock market of country A has an expected return of 8 percent and a standard deviation of the expected return of 5 percent. The stock market of country B has an expected return of 16 percent and a standard deviation of the expected return of 10 percent. Consider the portfolio with half invested in A and half invested in B. Assume that the correlation of expected return between A and B is negative 1. Calculate the standard deviation of the expected return of the portfolio in the last question.

A) 2.5%

B) 5%

C) 7.5%

D) 10%

E) None of the above