The table below shows future one-year returns on two stocks A and B in three possible economic states.

State	p(s)	X	Y
Boom	0.2	50%	5%
Normal	0.5	12%	5%
Recession	0.3	-20%	15%

a) Calculate covariance and correlation between the two stocks

(b) Please construct an opportunity set if an investor only holds the two stocks. (hint: you may calculate expected returns and standard deviations of portfolios under different portfolio weights of X and Y, draw the combinations of risk and return on a scatter plot, and connect the points to form the opportunity set curve).