You construct a portfolio containing two stocks, X and Y. You invest 80% of your funds in Stock X and the remainder in Stock Y. Stock X has an expected return of 8.5% and has a standard deviation of 14%. Stock Y has an expected return of 12.5% and has a standard deviation of 22%. The covariance between the two stocks is 0.00308. What is the standard deviation of the returns on the portfolio?

a.

11.95%

b.

12.15%

c.

12.44%

d.

11.74%