A portfolio consists of three securities Prime. Pals and Son with the following parameters: Son 25 14 Expected return (%) Standard deviation (%) Correlation coefficnet (Cor.): Prime & Pals Pals & Son Prime & Son Portfolio: Prime 15 10 1 2 +0.18 -0.24 -0.35 An investor can either invest in Portfolio 1 or Portfolio 2 in the proportion given below. Portfolio proportions (%) Prime Pals Pals 9 12 30 70 50 10 Son 20 20 Required: (a) Calculate the expected return and standard deviation for each of the two portfolios (2 Decimal Places). [21 Marks] (b) Explain the diversification effect and the relationship between correlation of assets. [ 6 Marks]