State of Nature Probability Investment A Return Investement B Return I 0.25 6% 15% II 0.4 9% 12% III 0.35 5% -3% Given the above information on two investments A and B, calculate the statistics below. The correlation coefficient between A and B is 0.6472. Note that since the correlation is given, you do not have to do the long calculation for covariance, just use the shortcut o AB pABo A or B A. Expected Return for Investment A B. Standard Deviation for Investment A C. Expected Return for Investment B D. Standard Deviation for Investment B E. The covariance between A and B F. The expected return for a portfolio consisting of 60% A and 40% B G. The standard deviation of a portfolio consisting of 60% A and 40% B.