You currently have all your fund invested in a portfolio of shares of Polycorp (PLC). the shares have an expected return of 12%pa and a standard deviation of 24%pa. You are offered the opportunity to invest in two funds managed by the REarguard portfolio management company. one is a bond fund that has an expected return of 6% pa and a standard deviation of 5%pa. The other fund is one that tracks the market index and has an expected return of 15%pa and a standard deviation of 20%pa. the correlation between the index fund and the bond fund is 0.2. Construct a portfolio of the index and bond funds that gives the same expected return as a portfolio of Polycorp shares. What is the composition and standard deviation of this portfolio? Use this example to comment on the benefits of diversification.