From the following information, calculate the variance of a portfolio consisting of two securities with a correlation coefficient of 0.45 : \begin{tabular}{|l|l|l|l|} \hline & Expected Return & Weight & Standard Deviation \\ \hline Security A & 0.10 & 0.4 & 0.02 \\ \hline Security B & 0.08 & 0.6 & 0.06 \\ \hline \end{tabular} 0.020 0.0426 0.0331 0.0011