Benefits of diversification. Sally Rogers has decided to invest her wealth equally across the following three assets: LOADING.... a.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. 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.

- Data Table X (Click on the following icon in order to copy its contents into a spreadsheet.) Asset N Return 19% States Boom Normal Recession Probability 26% 47% 27% Asset M Return 10% 7% - 2% Asset O Return - 2% 7% 10% 12% - 1%