Benefits of diversification. Sally Rogers has decided to invest her wealth equally across the following three assets: 3. 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.) States Boom Normal Recession Probability 34% 54% 12% Asset M Return 14% 12% 6% Asset N Return 25% 16% 5% Asset O Return 6% 12% 14%