An investor plans to invest 75 percent of his funds in Gamma Industries common stock and 25 percent in Epsilon Company. Gamma's expected return is 12 percent and Epsilon's expected return is 16 percent. The standard deviation of the returns for Gamma is 8 percent and for Epsilon it is 12 percent. The correlation between the Gamma and Epsilon returns is +0.8. Determine the standard deviation of the returns on this investor's portfolio.

Select one: 7.8% 6.71% 8.59% 3.00%