Benefits of diversification. 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 O.

States Probability Asset M Return Asset N Return Asset O Return Boom 34% 11% 21% -1% Normal 50% 8% 13% 8% Recession 16% -1% 1% 11%