Suppose there are two loans in a portfolio with the following monthly returns: January February March April May June Loan A 10.10% 4.60% 3.10% -3.10% 5.30% 4.30% Loan B 2.60% 10.50% 16.50% 11.30% 7.20% 19.50% Suppose the portfolio consists of 25% of Loan A and 75% of Loan B. a) What is the expected monthly return of the portfolio? b) What is the covariance of the monthly returns? c) What is the correlation of the monthly returns? d) What is the monthly standard deviation of the portfolio? e) What proportion mix of Loan A and Loan B generates the minimum risk (assuming the mix can range from 0% to 100% for each loan)? f) What proportion mix of Loan A and Loan B generates the maximum risk (assuming the mix can range from 0% to 100% for each loan)?