You can invest in two risky assets. Asset A has an expected return of 10% and a standard deviation of 25%. Asset B has an expected return of 13% and a standard deviation of 35%. What is the standard deviation of a portfolio that has 40% invested in the first asset and 60% in the second asset if the correlation between returns is 0.4?

a) 25.00%

b) 26.63%

c) 35.00%

d) 33.33%

e) 266.3%