Multiple Choice
A portfolio is composed of two shares, A and B. Share A has a standard deviation of return of 24% while Share B has a standard deviation of return of 18%. Share A comprises 60% of the portfolio while Share B comprises 40% of the portfolio. If the variance of return on the portfolio is .0380, the correlation coefficient between the returns on A and B is ________.
A) 0.583
B) 0.225
C) 0.327
D) 0.128
Correct Answer:
Verified
Correct Answer:
Verified
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