Use the information in the table below to answer the next seven multiple choice questions.

State of Nature

Probability

Return on AReturn on BI0.37.1%11.1%II0.29.6%6.2%III0.514.5%12.2%

The correlation between A and B is 0.3. The portfolio weight of A is 35%. The portfolio weight of B is 65%.

The expected return in percent for investment A is

12.88%

12.32%

10.28%

11.30%

The standard deviation of returns for investment A is

3.32%

3.02%

3.78%

3.61%

The expected return in percent for investment B is

9.71%

12.16%

10.67%

11.63%

The standard deviation of returns for investment B is

2.61%

2.29%

2.49%

2.08%

The expected return in percent for a portfolio of 35% investment A and 65% investment B is

11.87%

9.91%

12.42%

10.89%

The covariance between investment A and investment B is

2.59

2.07

2.48

2.27

The return standard deviation for a portfolio of 35% investment A and 65% investment B is

2.44%

2.33%

1.95%

2.14%