Problem 3 (10 points) A. Use the following information to answer the questions below: State Prob Return(S1) Return(S2) A 0.4 30% - 5% B 0.6 - 10% 25% Invest 70% in Asset-A and 30% in Asset-B. The covariance between Asset-A returns and Asset-B returns is - 288. i). Calculate the standard deviation of returns for Asset-A and Asset-B. (3 points) ii). Calculate the correlation coefficient between Asset-A returns and Asset-B returns. (2 points) Problem 3 (continued) A pension fund manager is considering these mutual funds. The first is a stock fund, and the second is a long-term government and corporate bond fund. The characteristics of the risky funds are: Expected Return Standard Deviation Stock fund (S) 15% 32% Bond fund (B) 9 23 The correlation between the fund returns is 0.10. a) What is the expected return and standard deviation for the minimum variance portfolio (MVP)? b) If the fund-returns are perfectly negatively correlated, what is the return on the minimum variance portfolio? (5 points)