The standard deviations of Target stock is 18% and of Sears stock is 33%. The correlation between Target & Sears stock returns is 0.16. If an investor's portfolio were invested solely in Target, what would happen to his portfolio's standard deviation if he moves 20% of his investment from Target to Sears?

a. The standard deviation would increase by 0.66%

b. The standard deviation would decrease by 1.23%

c. The standard deviation would increase by 3.00%

d. The standard deviation would decrease by 1.60%

e. The standard deviation would increase by 1.60%