Suppose that you have a firm with three divisions. Division 1 has 35% of the corporation assets and a beta of 1.5, Division 2 has a beta of 2 and 45% of all assets. Division 3 has beta of 1.1 and the remainder of the assets. The return on the market is 15% and the risk-free rate is 5%. The standard deviation of the market portfolio's return is 20% and the standard deviation of the division 2's return is 30%. A22. Given that the covariance of division 2's return with that of the market portfolio is 5.7% and standard deviation of the second division's return is 30%, what is the correlation of return between the market and the return of division 2. PM? (a).80 (b).75 (c).40 (d).60 (e).95