Stella has determined that for Rockies Electric Co Ltd, expected return is 5.8%, and the standard deviation is 13.6. She has also observed that the risk-free rate is 1.1%. Determine the standard deviation of a portfolio that consists of investing 23% in the risk-free asset and the remainder in Rockies Electric Co Ltd. Select one: O a. 9.8 O b. 4.5 O c. 4.7 O d. 10.5 O e. Cannot be determined without knowing the covariance between the returns on the risk-free asset and the risky asset