Part II. Problems (50 points) Problem #1. (20 points) You know the following information about the possible returns offered by the two funds, fund X and fund Y, next year. Scenario Recession Normal Growth Probability 25% 50% 20% Return from X 1% 10% 5% Return from Y -20% 10% 20% A) (6 points) Calculate the expected returns and standard deviations for fund X. fund Y. B) (4 points) What is the correlation coefficient between returns on fund X and fund Y? C) (6 points) Calculate the weights of fund X and fund Y in the optimal risky portfolio constituted by fund X and fund Y. D) (4 points) Calculate the expected returns and standard deviations for the optimal portfolio