The directors of Lancelot plc have evaluated the internal rates of return on two potential projects, whose returns depend on the future states of the economy. 5'" ' P'*""'""" " economy Fun Brexit Partianarexit " NoBrexit If either project (or a combination of both) is accepted, the size of Lancelot plc will double. Required: (i) Explain how Lancelot could construct a portfolio of these two projects to produce an expected return of 20%? (ii) Calculate the correlation between projects A and B, and evaluate the risk of the portfolio constructed in part (i). (iii) If Lancelot's existing activities have a standard deviation of 10% and a correlation coefficient with the new project portfolio of 0.8, how does the adoption of the new project portfolio in (i) and (ii) affect Lancelot's risk