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.