State of Economyr Probability X\" 5 return Y's return GDP growth = 8% 0.30 0.23 0.12 GDP growth = 4% 0.50 0.06 0.05 GDP growth = 1% 0.20 0.051'I 40.02 a. Calculate the correlation between rates of return of X and Y using the above information. 1:. Construct a portfolio, with X and Y, which has an expected return of 18%. What is the portfolio1 5 standard deviation? c. If your portfolio invests 65% in X and 35% inY, (i) calculate its return when GDP growth is 8%. (ii) calculate its return when GDP growth is 4%. (iii) calculate its return when GDP growth is 1%. (iv) calculate its expected return and standard deviation