Lishe Jones Company is looking to make an investment in some shares and other investments to diversify their portfolio. They are interested in the following two stocks and have been able to determine their expected returns based on the expected different states of the economy. State of Economy Probability ABC Company Expected Return DEF Company Expected Return 38% Very Good 0.20 40% Good 0.20 30% 24% Average 0.30 20% 8% Poor 0.30 10% 5% Expected Return 23.00% 16.30% Variance 0.016501 A) Calculate the variance of the returns of ABC Company. (3 Marks) Please provide your answer as a decimal to 6 decimal places. Answer: B) Calculate the covariance of the expected returns of ABC Company and XYZ Company. (3 Marks) Please provide your answer as a decimal to 6 decimal places. Answer: C) For two stocks when added to a portfolio to have diversification benefits the correlation coefficient between the stocks must be negative. (2 marks) Answer: TRUE FALSE