Benefits of diversification. Sally Rogers has decided to invest her wealth equally across the following three assets: E. 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 O. What is the expected return of investing equally in all three assets M, N, and O? % (Round to two decimal places.) Data table (Click on the following icon in order to copy its contents into a spreadsheet.) States Asset M Return 13% Asset N Return 23% Boom Normal Probability 35% 54% 11% Asset O Return 1% 10% 15% 10% 1% Recession 3% 13% Print Done