QUESTION 22: On the basis of a two-factor model, consider two securities with the following characteristics: Characteristic Factor 1 sensitivity Factor 2 sensitivity Nonfactor risk Security A 1.5 2.6 25.0 Security B 0.7 1.2 16.0 The standard deviations of factor 1 and factor 2 are 20% and 15%, respectively, and the factors have a covariance of 225. a. What are the standard deviations of securities A and B? [64.8%], [30.2%] b. What is their covariance? [1936.5]