Security M Has Expected Return of 17% and Standard Deviation

question 35

Multiple Choice

Security M has expected return of 17% and standard deviation of 28%. Security S has expected return of 13% and standard deviation of 15%. If the two securities have a correlation coefficient of 0.78, what is their covariance?

• A) 0.018
• B) 0.029
• C) 0.033
• D) 0.045
• E) 0.054