Suppose there are a large number of assets with the same expected return of 10% p.a. and the same standard deviation of 20%. Required: a) If the correlation between any two assets is zero, calculate the expected return and the standard deviation of a randomly selected two-stock portfolio. Assume the portfolio is equally-weighted. (3 marks) b) Ignore Part a, if the correlation between any two assets is 0.6, what is the lowest possible standard deviation in this case and the corresponding expected return? (3 marks) [Hint: this is an equally-weighted large portfolio] c) What are the implications of your results (Part a & Part b of the question) for the concept of diversification? (2 marks)