A pension fund manager is considering three mutual funds: a stock fund, a bond fund and a T-bill money market fund. The correlation between the stock and bond fund return is 0.15. The T-bill fund yields a sure return of 5.5%. The distributions of the risky funds are:

	Expected return	Standard deviation
Stock fund	15%	32%
Bond fund	9%	23%

If you were to use only the above two risky (stock and bond) funds and still require an expected return of 12%, whats the standard deviation of such a portfolio?

A) 4.45%

B) 21.06%

C) 19.70%

D) 20.61%