Use this info for the next FIVE problems. Market condition Return on C Return on A 30% Return on B 10% 8% -20% Probability 10 80 Good 22% 7% Average day Bad 10% -25% 30% 10 HELPFUL INFO: E(RB)=5.4%, OB= 8.49 and E(Rc)= 10.8%, oc= 7.81 9. What is the standard deviation of A? . 12.4 A. 12.2 . 12.7 D. 13.6 E. 13.9 10. What is the covariance of A and B? . 98 . 130 A. 92 C. 108 D. 122 11. What is the expected return of a portfolio with 40% of the funds invested in B and the rest evenly divided between A and C? A. 7.1% . 7.3% 7.5% C. D. 7.8% E. 8.0% 12. What is the correlation coefficient of A and B? . .78 . 91 A. .74 . 82 D. .87 13. What would be the standard deviation of a portfolio invested 30% in A with the rest in B? Please remember to take the square root of the variance if that sign is not on the formula sheet A. 9.3 . 9.5 . 9.7 D. 9.9 E. 10.2