Please help me solve this problem

d. An investment fund has a choice of three investments, A, B and C. Investment A and B both have an expected return of 0.2 per annum and a standard deviation of return of 0.2 per annum. Investment C has an expected return of 0.24 per annum and a standard deviation of return of 0.22 per annum. The correlation coefficient between all the investment is 0.3. Show that by spreading asset equally between all the three investments, the insurance company can build a portfolio with a higher expected returns and lower variance of return than if assets are split equally between investments A and B. 16 marks d. An investment fund has a choice of three investments, A, B and C. Investment A and B both have an expected return of 0.2 per annum and a standard deviation of return of 0.2 per annum. Investment C has an expected return of 0.24 per annum and a standard deviation of return of 0.22 per annum. The correlation coefficient between all the investment is 0.3. Show that by spreading asset equally between all the three investments, the insurance company can build a portfolio with a higher expected returns and lower variance of return than if assets are split equally between investments A and B. 16 marks