Benefits of diversification. Sally Rogers has decided to invest her wealth equally across the following three assets: 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 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. a. What is the expected return of Investing equally in all three assets M, N, and O? % (Round to two decimal places.) x Data table (Click on the following icon in order to copy its contents into a spreadsheet) States Probability Asset M Return Asset N Return Asset O Return 23% Boom 25% 14% 2% Normal 48% 11% 16% 11% Recession 27% 2% 3% 14% Print Done