Expected Return of Asset 1-10% The standard deviation of Asset 1's return-3% The proportion of the capital invested in Asset 1-30% Expected Return of Asset 2-15% The standard deviation of Asset 2's return = 5% The proportion of the capital invested in Asset 2-70% Calculate the standard deviation of the portfolio consisting of these two assets when the correlation coefficient between Asset 1 and Asset 2 is 0.40 Select one: O a. 0.3950 O b. 0.1558 C. 0.0016 O d. 0.0395 e. 0.0160