16. The below table shows returns of the three assets (return 1. retum 2, return 3) during the three states (Bad, Normal, Good). (15 points) States Probability return 1 return 2 return 3 Bad 0.30 -0.12 -0.10 0.30 Normal 0.40 0.08 0.12 0.10 Good 0.30 0.15 | 0.05 0.00 1) Compute the expected returns of the three assets. In addition, find the covariance between asset 1 and asset 2 and covariance between asset 1 and 3 and calculate the two corresponding correlation coefficients. (Recall COV(R1,R2) - E[(R1-E(R1)(R2-E(R2))] and 1 and 2) Suppose you have asset 10... retur ) and are considering add asset 2 of 3 to you portfolio. Which one among asset 2 and asset 3) would provide better diversification effect