You create a portfolio using two stocks A and B with correlation coefficient equal to $0\mathrm{.}6.$

You invest $40\%$ in A that has expected return $10\%$ and variance $0\mathrm{.}01$

You invest $60\%$ in B that has expected return $20\%$ and variance $0\mathrm{.}02$

What is the standard deviation of the portfolio?

a$.$

$0\mathrm{.}1043$

b$.$

$0\mathrm{.}0088$

c$.$

$0\mathrm{.}1135$

d$.$

$0\mathrm{.}0$

e$.$

$0\mathrm{.}0156$

f$.$

$0\mathrm{.}0109$

g$.$

$0\mathrm{.}1416$

h$.$

$0\mathrm{.}01287$

i$.$

$0\mathrm{.}1246$

j$.$

$0\mathrm{.}02$