In a Two-Security Portfolio, 25% Is Invested in Security a and the Remainder

question 2

Multiple Choice

In a two-security portfolio, 25% is invested in Security A and the remainder in Security B.If the portfolio standard deviation is 12%, and the individual standard deviations for Security A and Security B are 22% and 7%, respectively, what is the covariance of the returns on Securities A and B?

• A)0.017
• B)0.023
• C)0.0375
• D)0.0469