An investor has two stocks in her portfolio: Apple and Banana. The weights are 30% for Apple and 70% for Banana. There are three possible economic states in the future, and the stock returns in these states are shown below. The risk-free rate is 1% and the expected market return is 8%. What is the return variance of the portfolio?

Probability Apple Banana

State1 0.3 11% 18%

State2 0.4 8% 6%

State3 0.3 -1% -10%