Consider the following information about the return on two stocks 1 and 2: E(r1) = 8%, σ1 = 14% E(r2) = 10%, σ2 = 18% ρ1,2 = 0 where σ1 and σ2 are standard deviations of stock 1 and 2 returns respectively, and ρ1,2 is the correlation between the two stock returns. This risk-free rate rf is 4%. Suppose that you currently invest 20% in the risk-free security, 10% in stock 1 and 70% in stock 2.
What is the standard deviation of the return?