Consider an equally weighted portfolio between two assets, A and B. The table below describes three possible mutually exclusive states the economy will experience, as well as the corresponding expected returns on assets A and B for each state. What is the overall standard deviation of the portfolio?

Probability State Recession Normal Boom 20% 60% E[return on asset Aj E[return on asset B] ] [ -5% 2% 12% 10% 20% 15% 20%