Problem 2 (40 points): You are considering whether to invest in American Airlines (AA) and ZOOM. The returns on these stocks depend on whether the economy can recover from the COVID-19 pandemic and the public can travel again. You judge that there are three equally likely scenarios (i.e., the probability of each scenario is 1/3), and the returns of AA and ZOOM in those scenarios are: State of Economy Fully recovered Somewhat recovered Still in crisis American Airlines 9% 5% - 1% ZOOM 5% 8% 20% 1) What is the expected return and standard deviation of return on AA? 2) What is the expected return and standard deviation of return on ZOOM? 3) What is the correlation between AA and ZOOM? 4) You decide to invest 20% of your money in AA and 80% in ZOOM. What is your portfolio's expected return and standard deviation? 5) The risk-free rate is currently 0.1%. Compute the Sharpe ratio for your portfolio