There are only two possible states of the economy. State 1 has a 49% chance of occurring. In State 1, Asset A returns 8.75% and Asset B returns 11.75%. In State 2, Asset A returns -4.50% and Asset B returns -7.50%. A portfolio of just these two assets is invested 61% in Asset A (with Asset B comprising the remainder without any negative weights). What is the standard deviation of the portfolio's returns?

a) 7.01%

b) 7.21%

c) 7.40%

d) 7.60%

e) 7.79%