State of Nature Probability Investment A Return Investement B Return I 0.25 6% 15% II 0.4 9% 12% III 0.35 5% -3% Given the above information on two investments A and B, calculate the statistics below.
The correlation coefficient between A and B is 0.6472.
Note that since the correlation is given, you do not have to do the long calculation for covariance, just use the shortcut o AB pABo A or B ?
A. Expected Return for Investment A
B. Standard Deviation for Investment A
C. Expected Return for Investment B
D. Standard Deviation for Investment B
E. The covariance between A and B
F. The expected return for a portfolio consisting of 60% A and 40% B
G. The standard deviation of a portfolio consisting of 60% A and 40% B.