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 Boom Growth Normal Recession 0.2 0.3 0.4 0.1 Return on A (%) 10 -5 5 0 Return on B (%) 15 0 10 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.