You have the following information:

State of economy	Probability	Returns of Stock A	Returns of Stock B
I	30%	6%	20%
II	40%	18%	15%
III	30%	28%	35%

You are a risk analyst of an investment bank. You have been asked to perform the following calculations:

(a) Calculate: expected return and standard deviation of stock A and B.

(b) Calculate the covariance and correlation coefficient between stock A and B.

(c) How would you construct a portfolio to generate 21% expected return? Calculate the weight (proportion) of stock A and B in your portfo

Probability	Return of A	Total Return	Probability	Return of B	Total Return