There are only two possible states of the economy. State 1 has a 65% chance of occurring. In State 1, Asset A returns 6.75% and Asset B returns 9.75%. In State 2, Asset A returns -3.70% and Asset B returns -6.70%. A portfolio of just these two assets is invested 45% in Asset A (with Asset B comprising the remainder without any negative weights). What is the standard deviation of the portfolio's returns?