Consider an MNC That Is Exposed to the Taiwan Dollar

Consider an MNC that is exposed to the Taiwan dollar (TWD) and the Egyptian pound (EGP) . 25% of the MNC's funds are Taiwan dollars and 75% are pounds. The standard deviation of exchange movements is 7% for Taiwan dollars and 5% for pounds. The correlation coefficient between movements in the value of the Taiwan dollar and the pound is 0.7. Based on this information, the standard deviation of this two-currency portfolio is approximately:

A) 5.13%
B) 2.63%
C) 4.33%
D) 5.55%