Since we can't assume that the assessment scores are uncorrelated, there's no way to calculate the standard deviation of the student course averages solely with the information in the question. (Added: However, we can obtain bounds. See below.)
Provided you have the right additional information, though, there are two ways you could do the calculation.
- If you know the covariances or correlations of the assessment scores, you could use the formula Sasha mentions in his answer.
- If you know the course average for each student, you could apply the usual standard deviation formula $s = \sqrt{\frac{1}{n-1}\sum_{i=1}^n (x_i - \bar{x})^2},$ where the $x_i$ are the $n$ individual student course averages and $\bar{x}$ is the overall course average ($\bar{x} = 62\%$, in your example). (The fact that the $x_i$ are weighted averages is irrelevant; you just want the standard deviation of a set of $n$ data values, and how those values are obtained does not affect the standard deviation calculation.)
I'm guessing that (2) is easier. If it were me, I would already have each student's course average in a spreadsheet. It would take about 5 seconds to tell the spreadsheet to find their standard deviation.
(Added, based on comment of OP below.)
Let's rewrite the general formula for the variance of a weighted sum of variables as $\text{Var(Y)} = {\bf w}^T C {\bf w},$ where ${\bf w} = (0.2(0.35), 0.2(0.254), 0.2(0.224), 0.4(0.1309))$ (i.e., the column vector of weighted standard deviations), and $C$ is the correlation matrix (i.e., $C_{ij} = \rho_{ij}$).
If the information in the question is all that you have available, you can use this formula to obtain bounds on the standard deviation of the overall course average. Since students who do well on one assessment tend to do well on others, and students who do poorly on one assessment tend to do poorly on others, we can assume positive correlations. So we get a lower bound on $s_Y$ by taking $\rho_{ij} = 0$ for all $i \neq j$ and an upper bound by taking $\rho_{ij} = 1$ for all $i,j$. (We have $\rho_{ii} = 1$ for all $i$ in any situation, since a variable has a correlation of $1$ with itself.)
These calculations are straightforward; I get $11.1 \% \leq s_Y \leq 21.8\%$. Note that the lower bound is the one with the assumption of independence, and the upper bound is the one obtained by taking a weighted average of the four assessments, as the OP notes in the comments on Sasha's answer. (I get a slightly different answer for the independence assumption than Sasha; I think he misread the data.)