A portfolio is composed of two stocks, A and B. Stock A has a standard deviation of return of 24% while stock B has a standard deviation of return of 18%. Stock A comprises 60% of the portfolio while stock 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?

Ans:

0.0380= (.60*.24)^2+(.40*.18)^2+2(.60*.24)(.40*.18) PAB

0.0380= 0.0466 PAB

PAB = 0.0380/0.0466

Please help me I am using the right formula but keep getting the wrong answer. Is there anything I am doing wrong?