Question 2 [Total 35 marks] A retail investor - Aiden, is considering investing in two shares in proportion to their market values. Based on the information collected, the data on the two potential shares are summarized below: Share Expected return MAC 5% TAP 14% Standard Deviation 22% 18% Market value RM2.5 billion RM6.8 billion Required: a) Explain why Aiden might be surprised when he evaluates the information summarized in the table. b) Provide possible explanation of the "surprises" found from part (a). (8 marks) (6 marks) c) Calculate the expected return and the standard deviation of the proposed portfolio assuming the returns between MAC and TAP were zero, and if it were 0.7. (10 marks) d) Suppose that the correlation between the two shares had increased to 0.7, provide possible explanations to explain the change in the correlation between the two shares. (5 marks)