The Historical Returns for the Past Three Years for Stock

Multiple Choice

The historical returns for the past three years for Stock B and the stock market portfolio were Stock B: 24 percent, 0 percent, 24 percent; market portfolio: 10 percent, 12 percent, 20 percent. Calculate the observed covariance of returns between Stock B and the market portfolio. (Ignore the correction for the loss of a degree of freedom set out in the text.)

A) 16
B) 28
C) 36
D) 292