Lucas has a portfolio consist of stock Jay, and stock Hawk. Stock Jay accounts for 60% of his portfolio, and stock Hawk accounts for 40% of the portfolio. Below table shows the values of standard deviation of return of two stocks, and the variance of his portfolio.. Standard Deviation Variance of Portfolio Stock Jay 22% 0.046 Stock Hawk 28% What is the correlation coefficient () between the returns on stock Jay and stock Hawk? 0.342 0.046 0.542 0.442