Correlation coefficient between the returns

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Reference no: EM132022606

1. The standard deviation of return on investment A is .09 while the standard deviation of return on investment B is .28. If the covariance of returns on A and B is .0202, the correlation coefficient between the returns on A and B is __________.

0.88

0.75

0.80

0.85

2. A portfolio is composed of two stocks, A and B. Stock A has a standard deviation of return of 22% while stock B has a standard deviation of return of 20%. Stock A comprises 40% of the portfolio while stock B comprises 60% of the portfolio. If the variance of return on the portfolio is .0380, the correlation coefficient between the returns on A and B is __________.

0.741

0.761

0.751

0.766

Reference no: EM132022606

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