[求助]问一个FRM的选择题

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Consider a portfolio with 40% invested in asset Xand 60% invested in asset
Y. The mean and variance of return on X are 0 and 25 respectively. The
mean and variance of return on Y are 1 and 121 respectively. The correlation
coefficient between X and Y is 0.3. What is the nearest value for portfolio
volatility?
a. 9.51
b. 8.60
c. 13.38
d. 7.45

小弟初看handbook，碰到了这个题。请各位指点下。

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关键词：FRM 选择题 respectively coefficient correlation 求助 选择 FRM

(0.4*5）*(0.4*5)+(0.6*11)*(0.6*11)+2*0.3*0.4*5*0.6*11

然后开根号，ok

选择d