Consider the following information in Figure 1 below for a portfolio including security A and security B:

Figure 1

State of the economy	Probability of state of economy	Return on A (%)	Return on B (%)
Boom	0.2	10	15
Growth	0.3	-5	0
Normal	0.4	5	10
Recession	0.1	0	20

If you want to include one more security C into the above portfolio (e.g., a new portfolio including securities A, B, and C), what is the new portfolio variance if you invest 40% of C and 60% of the old portfolio including A and B?

Assume the standard deviation of C is 10%, and correlation coefficient between the old portfolio and C is 0.8.

NOTE: The weights for A and B are 50% each.