(a) Calculate the annual returns and standard deviation of annual returns for the following portfolio. Assume that a correlation coefficient of 0.235 between the returns of the two stocks. (Calculations must be done manually. Show all workings: Portfolio: P1 P2 P3 P4 P5 P6 P7 P8 P9 P10 P11 Stock A 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% Stock B 0% 10% 20% 30% 40% 50% Return ERP ERP2 ERP3 ERP4 ERP5 ERP6 ERP7 ERP8 ERP9 ERP10 ERP11 SDP1 SDP2 SDP3 SDP4 SDP5 SDP6 SDP7 SDP8 SDP9 SDP10 SDP11 S. D. 60% 70% 80% 90% 100% (b) (22 marks) Which of the stock combination can achieve the objective of diversification. Justify your answer. (4 marks)