The table below presents information about the Treasury Bill and securities A and B. The data presented refers to three states of the economy: recession, average, and expansion, respectfully.

a) Calculate the expected return of the Treasury Bill and securities A and B.

b) Calculate the standard deviation of the Treasury Bill and securities A and B. c) Calculate the expected return and standard deviation of a portfolio consisting of 60% of security A and 40% of security B (assuming the correlation between A and B is 0.2).

Security A Security B Economy Recession Average Boom/Expansion 0.2 Probability 0.3 0.5 8% 8% 8% -22% 20% 50% 28% 0% -20%