Suppose You Own a Two-Security Portfolio

Multiple Choice

Suppose you own a two-security portfolio.You have 25.0% of your funds invested in Security A and the balance of your funds invested in Security B.Security A has a standard deviation of 8.0% and Security B has a standard deviation of 12.0%.What is the covariance of the returns on Securities A and B if the portfolio standard deviation is 10.0%?

A) 0.0040
B) 0.0093
C) 0.0147
D) 0.0258