Question 20 (1.25 points) The standard deviation of return on investment A is.24, while the standard deviation of return on investment Bis 10. If the correlation coefficient between the returns on A and B is 0.50, the covariance of returns on A and B is a) 0.0447 b) 0.012 C) 0.0020 d) 0.0048 e) 0.050