Use the following information to answer Questions 1-10.

Probability Equity returns Debt returns

0.25 -8% -4%

0.25 5% 3%

0.20 14% 4%

0.30 28% 6%

Risk-free rate 0.75%

Correlation, d,e 0.3690

Expected return of Debt= 2.35%

Expected Return of Equity= 10.45%

Expected Standard Dev. of Debt= 3.84%

Expected Standard Dev. of Equity= 13.69%

7. (1.25 points) What is the standard deviation of the optimally risky portfolio? Round to the nearest 0.01.