Maroon has an expected return of 22%, and a variance of 0.011. Gray has an expected return of 18%, and a variance of 0.007. The covariance between Maroon and Gray is 0.08. Using these data, calculate the variance of a portfolio consisting of 40% Maroon and 60% Gray. 0.20659 0.00474 0.04268 0.04348 0.00860