).Mr. Corporate Frank is an investor contemplating to buy shares of X Limited and Y Limited. A securities analyst has provided the investor with the following data:

State of nature/ economy

Probability of state occurring

Return from X Share (%)

Return from Y Share (%)

A

0.1

-8

14

B

0.2

10

-4

C

0.4

8

6

D

0.2

5

15

E

0.1

-4

20

(a)Calculate the expected return and Standard deviation (Risk) for each share X and Y.

(4 marks)

(b)Calculate the covariance between the returns of share of the two securities X and Y and comment on your results.(2 marks)

(c)Calculate and interpret the Correlation Coefficient between the returns of share of the two securities X and Y.(1 marks)

(d)Frank has won Shs10 million in sports betting and he intends to spends 60% of the funds by investing in X securities and the balance (40%) the funds in Y securities.

Required: Calculate the expected return of the portfolio X&Y(2 marks)