Based on the following information, Probability of State of Return on Return on state of stock J stock K economy Bear economy 0.30 0.024 -0.220 Normal Bull 0.50 0.158 .052 0.20 0.238 0.072 a. Calculate the expected return and standard deviation for each of the following stocks. (Do not round the intermediate calculations. Round the final answer to 2 decimal places.) Stock J Stock K 6.06 % 4.76 Expected return % 18.62 1.72 Standard deviation b. What are the covariance and correlation between the returns of the two stocks? (Do not round the intermediate calculations. Round the covariance answer to 6 decimal places. Round the correlation answer to 4 decimal places.) Covariance 0.003796 Correlation O.9660