Stocks A and B have the following return distributions and expected returns State of the Market Poor Fair Great Probability 0.25 0.50 0.25 Stock A's Return Stock B's Return -20.0% 1 5 .0% 20.0% 7.5% 30.0% 20.0% 10.0% 15.0%) a) b) c) Expected return Calculate the covariance of returns for the two securities Calculate the correlation coefficient for the two securities Calculate the expected return and standard deviation of returns for a portfolio with $10,000 invested in A and $15,000 in B d) What is (are) the source(s) of diversification benefits in this portfolio? Explain