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 11.5% and 15.5%, respectively. The expected return and standard deviation of return on the Canadian stock market are 15.0% and 16.5%, respectively. The covariance of returns between the U.S. and Canadian stock markets is 0.017. 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. 12.13%

b. 13.42%

c.14.60%

d.16.67%