13 ) A portfolio is composed of two stocks, A and B. Stock A has a standard deviation of return of 26%, while stock B has a standard deviation of return of 20%. Stock A comprises 60% of the portfolio, while stock B comprises 40% of the portfolio. If the variance of return on the portfolio is 0.046, the correlation coefficient between the returns on A and B is _________.

Multiple Choice

• 0.612

• 0.367

• 0.245

• 0.122