Consider a portfolio with an expected return E(TP) = 20%; the standard deviation of this portfolio s returns is sigmaP = 30%. The expected return for the market is E(TM) = 15% and the standard deviation of market s returns is sigmaM = 20%. The risk free rate is if rf = 5%. Answer the following question based on this information. The covariance between portfolio and market returns is and the correlation coefficient between portfolio and market returns is 3.5 and 0.0 0.11 and 1.11 0.06 and 1.0 -0.07 and -0.35