Consider the following distribution of returns, with AM = 0.38, BM = 0.92:

a. Fill in the question marks. b. Find the covariance and the correlation between the returns of A and B. c. What is the expected return and standard deviation of a portfolio with 40% in A, 40% in B, and 20% in M?

RA RB RM Probability 30% 40% 30% E(R) -20% 5% 40% -5% 10% 15% 12% 15% RA RB RM Probability 30% 40% 30% E(R) -20% 5% 40% -5% 10% 15% 12% 15%