Question $12$

Assets A & B have $$ standard deviation of $15\%$&$20\%$ respectively and a correlation coefficient of $0\mathrm{.}35.$

The expected return of $A$ is $18\%$ and the expected return of $B$ is $25\%.$

The market portfolio has a standard deviation of $18\%.$

The correlation between A and the market portfolio is $0\mathrm{.}35.$

The correlation between B and the market portfolio is $0\mathrm{.}56.$

What is the covariance between asset A and the market portfolio?

$0\mathrm{.}0105$

$0\mathrm{.}01575$

$0\mathrm{.}00945$

Insufficient information.

$0\mathrm{.}0068$