Calculating Portfolio Standard Deviation

In the realm of portfolio management, understanding the risk measures associated with different investment strategies is crucial. Consider a portfolio that is comprised of two assets: Asset X and Asset Y. The expected returns are 10% for Asset X and 6% for Asset Y, with respective standard deviations of 15% and 10%. The correlation coefficient between the returns of the two assets is 0.4. An investor is attempting to calculate the portfolio's overall risk using the following formula:

Portfolio Variance = (Weight of X)^2 * (Standard Deviation of X)^2 + (Weight of Y)^2 * (Standard Deviation of Y)^2 + 2 * (Weight of X) * (Weight of Y) * (Correlation Coefficient) * (Standard Deviation of X) * (Standard Deviation of Y).

If the weights of asset X and asset Y in the portfolio are 0.6 and 0.4, respectively, which of the following demonstrates the portfolio's risk in terms of standard deviation?