What Is the Correlation Coefficient for Two Assets with a Covariance

Multiple Choice

What is the correlation coefficient for two assets with a covariance of .0032, if asset 1 has a standard deviation of 12 percent and asset 2 has a standard deviation of 9 percent?

A) 0.2963
B) 0.3456
C) 0.8721
D) 1.5980