Two Securities Have a Covariance of 0

question 46

Multiple Choice

Two securities have a covariance of 0.022. If their correlation coefficient is 0.52 and one has a standard deviation of 15%, what must be the standard deviation of the other security?

• A) 12%
• B) 19%
• C) 22%
• D) 28%
• E) 32%

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