This information is for all questions:

You are trying to make the least-risky portfolio possible from this set of ETFs. Risk is being measured by Standard Deviation of returns (sigma).

ETF mu sigma

A 10% 25%

B 8% 15%

Correlation Coefficient (rho), A to B: -50%

What is the standard deviation (sigma) for a portfolio comprised of 50% A and 50%B?

Round your answer to three decimal places. Do not write your answer as a percent. IE: write 0.251 not 25.1%.