Question $9(1$ point$)$

Investment X$\text{'}$s expected returns have a standard deviation of $25\mathrm{.}6\%,$ and Investment Y $\text{'}$s expected returns have a standard deviation of $9\mathrm{.}2\%.$ The correlation of the two investments is less than $1.$

If the portfolio is weighted $60\%$ of Investment $x$ and $40\%$ of Investment $Y,$ which one of the following statements is true?

a$)$ The portfolio's standard deviation will be lower than $15\mathrm{.}76\%,$ which is the weighted average of the standard deviations of the two investments.

b$)$ The portfolio's standard deviation will be higher than $19\mathrm{.}04\%,$ which is the weighted average of the standard deviations of the two investments.

c$)$ The portfolio's standard deviation will be lower than $19\mathrm{.}04\%,$ which is the weighted average of the standard deviations of the two investments.

d$)$ The portfolio's standard deviation will be equal to $19\mathrm{.}04\%,$ which is the weighted average of the standard deviations of the two investments.