There are two portfolios and a risk-free asset (Notes) Portfolio Expected return (%) Standard Deviation (%) 5 10 IB 16 20 Notes 2 0 rho(A,B) = 0.4, where rho is the correlation coefficient. Assume an investor that allocates 50% of her wealth to asset A, 20% of her wealth to the risk-free asset and the rest on asset B. What is the risk of such allocation (measured as the standard deviation)? Select one: 06.00% O 11.00% X O 12.00% O 9% None of the options provided O 8.00% The correct answer is: 9%