Benefits of diversification. Sally Rogers has decided to invest her wealth equally across the lollowing three asset a. What are her expected retums and the risk from her investment in the three astots? 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 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 \begin{tabular}{|l|c|c|c|c|} \hline States & Probability & Asset M Retum & Asset N Retum & Asset O Retum \\ \hline Boom & 31% & 13% & 22% & 5% \\ \hline Normal & 47% & 11% & 15% & 11% \\ \hline Recession & 22% & 5% & 2% & 13% \\ \hline \end{tabular}