Reference no: EM132399272

Calculate the covariance and correlation coefficient between the two securities of a portfolio that has 35 percent in stock X (with an expected return of 25 percent and a standard deviation of 11.0 percent) and 65 percent in stock Y (with an expected return of 20 percent and a standard deviation of 14.0 percent). The portfolio standard deviation is 5 percent. (Round intermediate calculations to 3 decimal places, e.g. 14.512 and the final answers to 2 decimal places, e.g. 14.51% or 0.51. Enter negative answers using either a negative sign preceding the number e.g. -14.51%, -0.51 or parentheses e.g. (14.51)%, (0.51)%.)

a) Covariance

b) Correlation coefficient