ExxonMobil offers an expected return of 10 percent and Coca-Cola offers an expected return of 15 percent. The standard deviation of returns is 18.2 percent for ExxonMobil and 27.3 percent for Coca-Cola. The correlation between the returns of ExxonMobil and Coca-Cola has been about .4. What is the standard deviation of an equally-weighted portfolio of ExxonMobil and Coca-Cola?

a. 23.5%

b. 18.2%

c. 27.3%

d. 19.2%

e. 17.6%