Wilcox Corporation is considering establishing a subsidiary either in Barbados or in the US. Once the project is completed, it will constitute 40% of the firm's total funds invested in itself. The annual after-tax return on the prevailing US. business is 10%, and the standard deviation of these returns is 0.10. The firm's remaining investment is solely in the U.S. Wilcox has gathered the following information: If Located 15% 08 If Located 1596 13 Mean expected annual return on investment Standard deviation of expected annual after-tax returns on investment Correlation of expected annual after-tax returns on investment with after tax returns of prevailing U.S. business 85 05 If Wilcox locates the project in the U.S., what is the overall firm's variance in returns? a. .0888 b..0079 C. .0048 d. None of these choices are correct