Investment State I Return State II Return State III Return (p 0.5) (p 0.3) (p-0.2) 5% 11% 9% 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 oAB = PaB ) A. Expected Return for A B. Standard Deviation for A C. Expected Return for B D. Standard Deviation for B E. The expected return on a portfolio consisting of 60% A and 40% B F. The standard deviation of a portfolio consisting of 60% A and 40% B (Check Answer: o, 2.47%) G. The covariance between A and B