Investment State I Return (p=0.3) State II Return (p=0.5) 11% State III Return (p=0.2) 9% 5% B 6% 8% -3% Given the above information on two investments A and B, calculate the following statistics: The correlation coefficient between A and B is 0.169. (Note that since the correlation is given, you do not have to do the long calculation for covariance, just use 0 18 = PA800,-) A. Expected Return for A (Check answer: 8.8%) B. Standard Deviation for A (Check answer: 2.60%) C. Expected Return for B (Check answer: 5.2%) D. Standard Deviation for B (Check answer: 4.19% E. The expected return on a portfolio consisting of 60% A and 40% B. (Check answer: 7.36%) F. The standard deviation of a portfolio consisting of 60% A and 40% B. (Check answer: 2.47%) G. The covariance between A and B (Check answer: 1.84)