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Donald Rock is a fund-of-fund portfolio manager of the assetmanagement company Capital Value Ltd. His company has a proprietarymodel to forecast the probability of different states of theeconomy and the corresponding returns from different funds.Consider the following information:State of economyProbabilityFund AFund MFund ZGood20%15%20%35%Normal70%10%15%20%Bad10%-3%-8%-15%a. What are the expected return and standard deviation of hisportfolio if he chooses to invest 60% of his assets in Fund A, 30%in Fund M and 10% in Fund Z?b. What are the expected return and standard deviation of hisportfolio if he chooses to invest equally in Fund A and Z?c. If the economy turns out to be in a normal state, what willbe the expected return of his portfolio in part (a)?