Question: Given the following information, please calculate (a) the expected return of the portfolio whose portfolio weights for asset A and asset B are 40% and

Given the following information, please calculate (a) the expected return of the portfolio whose portfolio weights for asset A and asset B are 40% and 60%, respectively, (2) the standard deviation of this portfolio, and (3) the correlation coefficient between asset A and asset B.

Probability

A

B

State 1

0.25

-5%

2%

State 2

0.5

20%

5%

State 3

0.25

25%

15%

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