A Europium plc has been specaily formed to undertake two investment opties. The risk and retum characteristics of the two projects are shown below: A Expected return Risk 12% 3% 7% 20% Europium ple plans to invest 80% of its available funds in Project A and 20% in B. The directors believe that the correlation coefficient between the returns of the projects is +0.1. Required: (a) Calculate the returns from the proposed portfolio of Projects A and B. (b) Calculate the risk of the portfolio. (c) Comment on your calculations in part (b) in the context of the risk-reducing effects of diversification. (d) Suppose the correlation coefficient between A and B was -1.0. How should Europium plc invest its funds in order to obtain a zero-risk portfolio?