Based on the following information, what is the standard deviation of returns?

$$

State of EconomyProbability of State

of EconomyRate of Return if

State OccursRecession$\mathrm{.}29\mathrm{.}097$Normal$\mathrm{.}40\mathrm{.}112$Boom$\mathrm{.}31\mathrm{.}222$