The following probability distribution represents the state of the economy and the expected return on four stocks, given the state of the economy. If you have a portfolio that has $20\%$ invested in Nvidia, $40\%$ in Microsoft, and the remainder split evenly between Duke and JNJ$,$ the standard deviation of the portfolio is closest to$?$

$\backslash$table$[[\backslash$table$[[$State of$],[$Economy$]],$Rate of return if state occurs$],[\backslash$table$[[$Probability of$],[$State of$],[$Economy$]],\backslash$table$[[$Nvidia$]],$MSFT$,$Duke,JNJ$],[$Boom$,0\mathrm{.}2,0\mathrm{.}24,0\mathrm{.}18,0\mathrm{.}08,0\mathrm{.}12],[$Normal$,0\mathrm{.}6,0\mathrm{.}12,0\mathrm{.}1,0\mathrm{.}06,0\mathrm{.}08],[$Recession$,0\mathrm{.}2,-0\mathrm{.}15,-0\mathrm{.}08,0\mathrm{.}04,0\mathrm{.}02]]$

$8\mathrm{.}94\%$

None of the answers presented are correct

$7\mathrm{.}72\%$

$6\mathrm{.}88\%$