A portfolio consists of $40$ percent Stock A and $60$ percent Stock B$.$

Stock A has a Beta of $1\mathrm{.}2,$ an expected return of $0\mathrm{.}09,$ and a variance of $0\mathrm{.}10.$

Stock $B$ has a Beta of $0\mathrm{.}8,$ an expected return of $0\mathrm{.}09,$ and a variance of $0\mathrm{.}07.$

The covariance of returns between Stocks A and B is $0\mathrm{.}16.$

What is the standard deviation of the portfolio?

None of the listed choices is correct.

$0\mathrm{.}3704$

$0\mathrm{.}3435$

$0\mathrm{.}1180$

$0\mathrm{.}2987$