State of Nature	Probability	Investment A Return	Investment 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

s AB

= r ABs As B .

1. Expected Return for Investment A

6.85%

1. Standard Deviation for Investment A

1.80%

1. Expected Return for Investment B

7.50%

4. Standard Deviation for Investment B

7.79%

5. The covariance between A and B

6. The expected return for a portfolio consisting of 60% A and 40% B

7. The standard deviation of a portfolio consisting of 60% A and 40% B.