Assume there is a fixed exchange rate between the Canadian and U.S. dollars. The expected return and standard deviation of return on the U.S. stock market are 7.5% and 12.5%, respectively. The expected return and standard deviation of return on the Canadian stock market are 9.5% and 13.5%, respectively. The covariance of returns between the U.S. and Canadian stock markets is 0.018. If you invested 50% of your money in the Canadian stock market and 50% in the U.S. stock market, the standard deviation of return on your portfolio would be __________.

Option:

a. 13.21%

b. 10.74%

c. 12.03%

d. 15.28%