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. Data table (Click on the following icon in order to copy its contents into a spreadsheet.) States Boom Probability 33% 50% 17% Asset M Return 14% 11% 2% Asset N Return 25% 16% Asset O Return 2% 11% Normal Recession 5% 14%