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1333 3 ) A portfolio is composed of two stocks, A and B. Stock A has a standard deviation of return of 26%, while stock

1333

3 ) 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 _________.

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  • 0.612

  • 0.367

  • 0.245

  • 0.122

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