Suppose that the standard deviation of returns from a typical share is about 0.35 (or 35%) a year. The correlation between the returns of each pair of shares is about 0.2. Required: (a) Calculate the variance and standard deviation of the returns on a portfolio that has equal investments in 2 shares, 3 shares, and so on, up to 10 shares. (Round "Variance" to 6 decimal places and "Standard deviation" to 3 decimal places.) No. of Standard Shares Variance Deviation 1 2 3 4 5 6 7 8 9 10 (b) How large is the underlying market risk that cannot be diversified away? (Round your answer to 3 decimal places.) Market risk (c) Assume that the correlation between each pair of stocks is zero. Calculate the variance and standard deviation of the returns on a portfolio that has equal investments in 2 shares, 3 shares, and so on, up to 10 shares. (Round "Variance" to 6 decimal places and "Standard deviation" to 3 decimal places.) No. of Standard Shares Variance Deviation 1 2 3 4 5 6 7 8 9 10