The expected return on DannyCo is 10% and its standard deviation is 33%. The expected return on CathyCo is 12% and its standard deviation is 35%. Suppose the correlation coefficient for the two stocks' returns is 0.25. What is the standard deviation of a portfolio with 35 percent invested in DannyCo and the rest in CathyCo?

A.7.82%
B.11.30%
C.34.30%
D.27.97%

the variance of the portfolio aX + bY is a²*var(X) + b²*var(Y) + 2*cov(X,Y)
cov(X,Y) = corr(X,Y)*std(X)*std(Y) where std is standard deviation
applying this formula provides :
var(portfolio) = 0.35²*0.33² + 0.65²*0.35² + 2*0.35*0.65*0.25*0.33*0.35 = 0.078234625

the standard deviation of the portfolio is therefore D.27.97%