Stocks Intel and GE have the following probability distributions of expected future returns:

Returns $(\%)$

Period Probability Intel GE

Boom $0\mathrm{.}42010$

Normal $0\mathrm{.}31510$

Recession $0\mathrm{.}3128$

Compute the risk of portfolio where $60\%$ of investable wealth is invested in Intel and $40\%$ of the same in GE$.$

$1.$

$2\mathrm{.}34\%$

$2.$

$2\mathrm{.}55\%$

$3.$

$3\mathrm{.}52\%$

$4.$

$6\mathrm{.}87\%$