Suppose you hold three stocks in your investment portfolio: BHP Group, Macquarie Group, Wesfarmers.

We denote their stock returns by three random variables R$1,$ R$2,$ and R$3.$

Suppose we know the following information about the variances and correlations:

Var$($R$1)=9$

Var$($R$2)=4$

Var$($R$3)=1$

Corr$($R$1,$ R$2)=0\mathrm{.}6$

Corr$($R$1,$ R$3)=0$

Corr$($R$2,$ R$3)=0\mathrm{.}2$

Your portfolio return is R $=$ R$1+$ R$2+$ R$3.$

What is the variance of your portfolio return?