Benefits of diversification. Sally Rogers has decided to invest her wealth equally across the following three assets.

Benets of diversication. Sally Rogers has decided to invest her wealth equally across the following three assets. What are her expected returns and the risk from her investment in the three assets? How do they compare with investing in asset M alone? Hint: Find the standard deviations of asset M and of the portfolio equally invested in assets M, N, and 0. Probability Asset M Return Boom 30% 1 3% Normal 47% 10% Recession 23% 1% Asset N Return Asset 0 Return 22% 1 % 2% 13% What is the expected return of investing equally in all three assets M, N, and O? % (Round to two decimal places.)