Suppose you own a portfolio with two securities. Security A has an expected return of 13.4% and a standard deviation of 55% per year. Security B has an expected return of 9.3% and a standard deviation of 32% per year. Considering that your portfolio is composed of 35% of Security A and 65% of Security B, and that the correlation between their returns is .25, what is the standard deviation of your portfolio?

Select one:

a. 31.68%

b. 40.05%

c. 8.53%

d. 8.61%

e. 10.03%