You are a share analyst employed by a large multinational investment fund and have been supplied with the following information: You are also told that the correlation between the returns of the two firms is 0.8. Your client currently has all of their wealth invested in BHZ shares. They wish to diversify their portfolio by redistributing their wealth such that 31.0% is invested in BHZ shares and 69.0% in ANB shares. a) What will be the expected return of the new portfolio? % (Enter to 2 decimal places) b) What will be the standard deviation of returns for the new portfolio? % (Enter to 2 decimal places) After constructing the portfolio and reporting the results to your client, they are quite upset saying 'I thought the whole purpose of diversification was to reduce risk. Yet you have just told me that the variability of my portfolio has actually been increased from what it was when I invested only in BHZ.' c) Provide a response to your client and demonstrate that the new portfolio does (or does not) reflect the benefits of diversification. Next, you propose a new portfolio such that 31.0% is invested in BHZ shares, 42.0% in ANB shares and the rest in the risk-free security, which has a return of 4.0%. d) What is the expected return of this new portfolio? % (Enter to 2 decimal places)