Shao Industries is considering a proposed project for its capital budget. The company estimates the project's NPV is $12 million. This estimate assumes that the economy and market conditions will be average over the next few years. The company's CFO, however, forecasts there is only a 50% chance that the economy will be average. Recognizing this uncertainty, she has also performed the following scenario analysis:

Economic Scenario Probability of Outcome NPV (millions)

Recession .1 ($60)

Below average .15 ($25)

Average .5 $25

Boom .05 $32

What is the project's standard deviation?