Suppose there is Portfolio D and E.

Portfolio D invests 0.8 in security A and 0.2 in security B. Portfolio E invests 0.2 in security A and 0.8 in security B. Obtain the covariance and correlation between portfolios D and E.

The universe of available securities includes two risky stock funds A and B, and T-bills. The data for the universe are as follows: Securities Expected Return (%) Standard Deviation (%) 10 20 B 30 60 T-bills 5 0 The covariance between fund A and B returns is 204