Diversification Inv. Two Assets A and B have returns as follows: 1. probability .4 Rp 16% state expansion normal .5 9% 1% recession .1 Find oAB and PAB- The variance of R, is .0625, the variance of R, is .0196, and the correlation coefficient of R, with R, is .35. Find the covariance of R, with Rg. Suppose that oAB = -.0059, o,? = .0169, and o of R, with Rg. = .0064. Find the correlation coefficient 3. The covariance of R, with R, is .00405, the standard deviation of R, is .09, and the correlation coefficient of R, with R, is .3. Find the standard deviation of Rg. 4. 2