Stock A has an expected return of 12% and a standard deviation of 40%. Stock B has an expected return of 18% and a standard deviation of 60%. The correlation coefficient between Stocks A and B is 0.2. What is the standard deviation of a portfolio invested 60% in Stock A and 40% in Stock B? Select one: O a. 11.9% O b. 35.5% O c. 52.2% O d. 37.18% O e. 41.3%

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