You are a fund manager of a portfolio with an asset allocation of 60% to one risky asset and 40% to one risk-free asset. The standard deviation of the risky asset in the past period was 12%. The standard deviation of your portfolio over the past period was:
Select one:
a.
6.0%
b.
Cannot calculate from the information provided
c.
6.2%
d.
4.8%
e.
7.2%