A portfolio is composed of two stocks, A and B. Stock A has a standard deviation of return of 30%, while stock B has a standard deviation of return of 21%. Stock A comprises 60% of the portfolio, while stock B comprises 40% of the portfolio. If the variance of return on the portfolio is 0.055, the correlation coefficient between the returns on A and B is _________.

Multiple Choice

• 0.514

• 0.308

• 0.206

• 0.108