There are three portfolios and a risk-free asset (Notes)

Portfolio	Expected return (%)	Standard Deviation (%)
A	4	10
B	8	20
C	6	15
Notes	1	0

rho(A,B) = 1; rho(A,C) = .2; rho(B,C) =.2. rho is correlation coefficient.

What is the difference of returns (in absolute value) across the portfolios of Mr. Tiger and Mr. Zoom?

a) 0.02

b) 0.04

c) 0.08

d) 0.50