Please provide the calculation process. Thanks.

4. A hedge fund has created a portfolio using just two stocks. It has shorted $20,000,000 worth of Oracle stock and has purchased $86,000,000 of Intel stock. The correlation between Oracle's and Intel's returns is 0.65. The expected returns and standard deviations of the two stocks are given in the table below: Oracle Intel Expected Return 12.47% 14.99% Standard Deviation 46.06% 38.85% Suppose the correlation between Intel and Oracle's stock increases, but nothing else changes. Would the portfolio be more or less risky with this change? (Select the best choice below.) O A More risky. OB. Riskiness of the portfolio stays the same. C. Less risky. OD. Cannot say without knowing how investors trade off expected return and volatility