He owns two securities: TIMBA and SIMBA. TIMBA has an expected return of 15 percent with a standard deviation of those returns being 11 percent. SIMBA has an expected return of 12 percent, and a standard deviation of 7 percent. The correlation of returns between TIMBA and SIMBA is 0.81. If the portfolio consists of $6,000 in SIMBA and $4,000 in TIMBA, what is the expected standard deviation of portfolio returns?

8.18%

13.20%

8.60%

9.71%