Suppose you have two risky assets: stock and bond. The stock has expected return of 0.25 and the standard deviation of 0.8. The bond has expected return of 0.1 and the standard deviation of 0.7. The correlation is 0.1. The optimal portfolio consists 60% of stock and 40% of bond. Suppose the risk-free rate is 0.01, what is the lowest standard deviation you can have for 20% expected return?

		0.611566699
		1.31405624
		0.197353008
		0.71903837
		1.22019508