Suppose you own a portfolio with two securities. Security A has an expected return of 13.4% and a standard deviation of 57% per year. Security B has an expected return of 9.3% and a standard deviation of 40% per year.
Considering that your portfolio is composed of 35% of Security A and 65% of Security B, and that the correlation between their returns is .25, what is the standard deviation of your portfolio?