The following table shows expected returns, standard deviations, and covariance between US private equity and US real estate.

	E(R)	sigma
Private Equity	0.13	0.32
Real Estate	0.04	0.13
Covariance	0.01248

Compute the standard deviation of a portfolio of 60% private equity and 40% real estate.

Group of answer choices

4.56%

21.34%

32.00%

19.95%

None of the options are correct