Expected Return SML 1.2 12% - 1 - 1 ? 1 1 1 5% 1 Beta 0 0.7 1.0 1.6 Beta Expected Return Stock A Standard Deviation 20% 10% 12% B 0.7 1.0 1.6 2. The covariance matrix of Asset 1, 2, and 3 is shown in the following table. Asset 1 Asset 2 Asset 3 Covariance Matrix Asset 1 Asset 2 0.00777 0.00210 0.00210 0.00359 0.00119 0.00023 Asset 3 0.00119 0.00023 0.00979 a). What is the variance and standard deviation (SD) of Asset 1,2, and 3? b). What is the covariance between Asset 1 and Asset 3? How about Asset 2 and Asset 3? C). What is the correlation coefficient between Asset 1 and 2? d). You have a portfolio with Asset 1, 2, and 3 equally weighted. How much is your portfolio risk