Problem: You own a portfolio that has 35% invested in asset A, and 65% invested in asset B. Asset A's standard deviation is 12% and asset B's standard deviation is 18%. The correlation coefficient between the two assets is -0.7. The expected return on the portfolio is 13%. What is the portfolio standard deviation?
1. 8.5%
2. 9.3%
3. 7.2%
4. 15.3%