Stocks A and B have the following returns in each of the states given below.

The probability of the boom is 0.5, the probability of the normal economy is 0.3 and the probability of the recession is 0.2.

Boom Normal Economy Recession

Stock A return 12% 10% -5%

Stock B return 1% -5% 15%

(a) Calculate the variance of the returns of A and the variance of the returns of B

(b) What is the covariance between the returns of A and B?

(c) What is the standard deviation of a portfolio of A and B with equal amounts invested in both?

I have answered A and B, i need help with C