Security X Has Expected Return of 14% and Standard Deviation

question 33

Multiple Choice

Security X has expected return of 14% and standard deviation of 22%. Security Y has expected return of 16% and standard deviation of 28%. If the two securities have a correlation coefficient of 0.8, what is their covariance?

• A) 0.038
• B) 0.049
• C) 0.018
• D) 0.013
• E) 0.054

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