Q5 (Essential to Cover) Consider two assets which are negatively correlated. Suppose the distribution of return scenarios for these assets in different probability weighted future scenarios is given by: State Asset 1 Return Probability of State 0.25 0.60 0.15 Strong Steady Recession 30% Asset 2 Return -9% -3% 19% 15% -40% a. What is the expected return and standard deviation of Asset 1 and Asset 2 respectively? What is the covariance and correlation between Asset 1 and Asset 2? b. We want to construct a portfolio weighted 60% in Asset 1 and 40% in Asset 2. What is the portfolio's expected return and standard deviation? c. A risk-free portfolio can be constructed between these two assets. What will be the portfolio weightings and expected return of this portfolio? Is this a desirable hedging strategy