FMG has an expected return of 10% and a standard deviation of 20%. WBC has an expected return of 15% and a standard deviation of 25%. The correlation coefficient between the two assets is -0.2. What is the standard deviation of portfolio returns if there is 40% invested in FMG and 60% invested in WBC.

a.

15.52%

b.

11.72%

c.

17.00%

d.

22.52%