Benefits of diversification. Sally Rogers has decided to invest her wealth equally across the following three assets: E . a. What are her expected returns and the risk from her investment in the three assets? How do they compare with investing in asset Malone? Hint: Find the standard deviations of asset M and of the portfolio equally invested in assets M, N, and O. b. Could Sally reduce her total risk even more by using assets M and N only, assets M and O only, or assets N and O only? Use a 50/50 split between the asset pairs, and find the standard deviation of each asset pair. (Click on the following icon in order to copy its contents into a spreadsheet.) Asset M Return 10% States Boom Normal Recession Probability 29% 52% 19% Asset N Return 20% 12% 0% Asset O Return -2% 7% 10% 7% -2%