A portfolio, invested in two assets with equal weights, has a volatility of 11.18% when the covariance (and correlation) between
the asset returns is zero. If the covariance increases from zero to 0.0160, while the weights and individual asset volatilities remain
unchanged, what is the change to portfolio volatility?
A. Increase by ~3.14%
B. Increase by ~6.29%
C. Increase by ~12.65%
D. Not enough information

答案选A
但我觉着 portfolio里两个asset 的各自方差没给不好求啊。