Consider the expected outcomes of Projects A and B:

State of Nature Return	Probability of Occurrence	Project A Return	Project B Return
Recession	0.25	0.06	-0.20
Average Growth	0.50	0.03	0.08
Prosperity	0.25	-0.06	0.40

Part A. If a portfolio holds 75% of B and 25% of A, what is the standard deviation of the portfolio?

A. 0.157

B. 0.022

C. 0.088

D. 0.149

Part B. If a portfolio holds 75% of B and 25% of A, what is the variance of the portfolio?

A. 0.022

B. 0.149

C. 0.088

D. 0.157

Part C. What is the variance of Project A?

A. 0.045

B. 0.004

C. 0.002

D. 0.008

Part D. What is the correlation coefficient of Projects A and B?

A. 0.21

B. -0.96

C. 0.96

D. -0.21

Part E. What is the standard deviation of Project A?

A. 0.008

B. 0.045

C. 0.002

D. 0.004

Part F. If a portfolio holds 75% of B and 25% of A, what is the expected return of the portfolio?

A. 7.13%

B. 10.5%

C. 5.75%

D. 7.50%

Part G. What is the covariance of Projects A and B?

A. -0.009

B. -0.036

C. 0.009

D. 0.036

Part H. What is the standard deviation of Project B?

A. 4.5%

B. 21.2%

C. 10.2%

D. 18.0%

Part I. What is the expected return of Project A?

A. 0%

B. 3%

C. 2%

D. 1.5%