User: The stock of Morgan Stanley (MS) has an expected return of 15% and a volatility of 60%. The stock of Lowe's Companies (LOW) has an expected return of 11% and a volatility of 30%. The covariance between the two stocks is 0.06. Brianna is not very risk averse and has $100,000 to invest. She sells $40,000 worth of Lowe's stock short, and invests her own funds plus the proceeds of the short sale in Morgan Stanley stock. What is the volatility of Brianna's portfolio?

The answer choices are:

81%

86%

91%

96%