An optimal risky portfolio has an expected rate of return of 16% and a standard deviation of 15%. T-bills rate is 4%. Suppose you have an investment budget of $40,000. Based on these data youd like to form a portfolio with an expected return of 12%. What would be the standard deviation of your portfolio?

a. 7.5%

b. None of THESE are correct

c. 9.5%

d. 15%

e. 10%