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

question 86

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

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