Problem:

You own a portfolio that has 40% invested in asset A, and 60% invested in asset B.

Asset A's standard deviation is 10% and asset B's standard deviation is 16%.

The correlation coefficient between the two assets is 0.12. The expected return on the portfolio is 16%. What is the portfolio standard deviation?

Possible Answers:

A) 7.3%

B) 10.8%

C) 6.45%

D) 8.1%

Note: Please show how you came up with the solution.