You are choosing among three retirement funds. Alpha Fund has an expected return of 22% and a standard deviation of 27.8%. Beta Fund has an expected return of 39% and a standard deviation of 55%.Gamma Fund has an expected return of 20%. If according to the mean-standard deviation rule the Gamma Fund would never be chosen, then the Gamma Fund's standard deviation must be greater than what?

Answer: 27.8%. Please show how to arrive at this answer.