求解一道FRM基础题

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早上突然特别晕，怎么算出来的3.14%。。。
哭死，求解答
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

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关键词：FRM 基础题 volatilities information correlation individual invested returns change assets

11.18%^2 = 0.5^2*(sigmaA^2+sigmaB^2)
(0.5^2*(sigmaA^2+sigmaB^2) +2*0.5^2*0.016)^(-0.5) - 11.18% = 3.14%