1. A U.S. MNC invests 60% of their funds in U.S. projects with an expected annual return of 20% and a standard deviation of 10%. This U.S. MNC invests 40% of their funds in foreign projects with an expected annual return of 30% and a standard deviation of 15%. If the correlation coefficient is 0.5, what is the portfolio standard deviation?

1. 11.53%

2. 133%

3. 108%

4. 10.39%

5. None of the above