Firm A and Firm B (both are all-equity firms) are planning to merge. What is the standard deviation of returns for the merged firm's assets (i.e., Firm AB's assets) using the following information?

Market value of Firm A = $650 million

Market value of Firm B = $350 million

Market value of Firm AB = $1,000 million

Standard deviation of returns for Firm As assets = 0.25 (or 25.0%)

Standard deviation of returns for Firm Bs assets = 0.48 (or 48.0%)

Correlation between the returns of the assets of the two firm = 0.20