QUESTION $3$

Portfolio ABC's standard deviation of returns is $40\%.$ Market portfolio has an expected return of $8\%$ and standard deviation of market returns

is $20\%.$ Correlation between ABC's returns and market portfolio returns is $0\mathrm{.}75.$ The risk$-$free rate is $2\%.$ ABC actual realized return is $10\%.$

What is the standard deviation of returns of a portfolio that invests $70\%$ in ABC and $30\%$ in the market portfolio?

A$.0\mathrm{.}3256$

B$.0\mathrm{.}3156$

C$.0\mathrm{.}3294$

D$.0\mathrm{.}3274$