You put 60% of your funds in an asset that has an expected return of 14% and a standard deviation of 12%. You put the rest of your money in an asset with expected return of 10% and a standard deviation of 7%. The returns on the two assets have a covariance of 65. The standard deviation of the resulting portfolio will be closest to

• A. 51.8%
• B. 6.1%
• C. 11.7%
• D. 9.5%