Determine portfolio standard deviation

Question

Problem:

You own a portfolio that has 65% invested in asset A, and 35% invested in asset B. Asset A's standard deviation is 15% and asset B's standard deviation is 11%. The correlation coefficient between the two assets is -0.32. The expected return on the portfolio is 11%.

Required:

Question: What is the portfolio standard deviation?

• 13.1%
• 11.2%
• 6.5%
• 9.3%

Note: Please explain comprehensively and give step by step solution.