Mrs Jones has recently won a substantial amount of money on Zama-Zama and has decided to invest 40% of the proceeds in Share A and 60% in Share B. The following information is available on the return and risk profile of the two shares: Share A Share B State Return Probability Return Probability 1 0% 0,2 20% 0,2 2 20% 0,5 7% 3 40% 0,3 11% 188 Standard deviation of Share A equals 0,14 or 14% Standard deviation of Share B equals 0,0944 or 9,44% - The covariance of returns between Share A and Share B is -0,00356 or 35,6 (when working with full % figures, eg 14% instead of 0,14). The risk-free rate on government Treasury Bills is 6%. You are required to: (a) Calculate the expected return and risk of Mrs Jones' investment in Share A and Share B, and briefly discuss whether her decision to invest in the two shares is wise. (b) Assuming that the combination of Shares A and B in the proportion of 40% A and 60% B results in a return and risk profile that is the same as the market portfolio, determine the required return for a portfolio that has a risk equal to a standard deviation of 18%. (c) Assuming that Share A and Share B have the following characteristics Share A Correlation with the market = 0,8 Share B Correlation with the market = 0,2 The market portfolio has a return of 15% and a risk, standard deviation of 0,05 or 5%, advise Mrs Jones whether Share A and or Share B is a good investment. You may assume that Mrs Jones now has a halanced nortfolio