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

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