In a Two-Security Portfolio 25% of Your Money Is Invested

Multiple Choice

In a two-security portfolio 25% of your money is invested in Security X and the remainder in Security Y.If the standard deviations of Securities X and Y are 22 % and 7 %, respectively, and the portfolio variance is 0.01155625, what is the correlation between the two securities?

A) -0.003275
B) 0.03275
C) 1.0
D) -1.0