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$?$

Rate of return if state occurs

State of Economy Probability of State of Economy Nvidia MSFT Duke JNJ

Boom $0\mathrm{.}20\mathrm{.}240\mathrm{.}180\mathrm{.}080\mathrm{.}12$

Normal $0\mathrm{.}60\mathrm{.}120\mathrm{.}10\mathrm{.}060\mathrm{.}08$

Recession $0\mathrm{.}2-0\mathrm{.}15-0\mathrm{.}080\mathrm{.}040\mathrm{.}02$

Group of answer choices