The table below shows the capital market forecasts for portfolios H, J, and K, respectively. Usethe information to answer questions (a) through (f). Showthe calculation steps that support your answers.

State of Economy ()

Probability (())

Return on Portfolio H (())

Return on Portfolio J ( ())

Return on Portfolio K (())

Good 0.2 20% 16% 2%

Mild 0.6 10% 8% 12%

Bad 0.2 5% 4% 17%

(a) What are the expected returns of portfolios H, J, and K, respectively?

(b) What are the deviations from their own expected returns of portfolios H, J, and K in three scenarios, respectively?

[hunt: you need to find nine different numbers for this question.]

(c) What are the variances of the returns of portfolios H, J, and K, respectively?

(Round to six decimal places, i.e., four decimal places in percentage.)

(d) What are the standard deviations of the returns of portfolios H, J, and K, respectively?

(e) What are(1) the covariance between the returns of portfolios H and J,(2) the covariance between the returns of portfolios H and K, and (3) the covariance between the returns of portfolios J and K, respectively? ( Round to six decimal place s, i.e., four decimal places in percentage.)

(f) What are (1) the correlation coefficient between the returns of portfolios H and J, (2) the correlation coefficient between the returns of portfolios H and K, and (3) the correlation coefficient between the returns of portfolios J and K, respectively?