While discussing investment strategies over lunch, your colleague mentions that he has invested 10% of his wealth in GameStop (GME) and 90% of his wealth in AMC. While your colleague is not sure whether his portfolio is mean-variance efficient, he is certain that his portfolio return will nevertheless go "to the moon".

You decide to explore each stock on Yahoo Finance after lunch, and see that the beta of GME is currently -1.95, whereas the beta of AMC is currently 1.45. You also see that the expected return of the market portfolio is currently 11%, the standard deviation of the market portfolio is 22%, and the risk-free rate is 1%. What is the standard deviation of the mean-variance efficient portfolio that delivers the same expected return as your colleagues portfolio?

Group of answer choices

2.442

0.121

0.1743

0.2442

1.11