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Suppose two asset returns are described by a 1-factor model r1 = 2% + 0.6f + e1 r2 = 2% + 0.6f + e2 where

Suppose two asset returns are described by a 1-factor model r1 = 2% + 0.6f + e1

r2 = 2% + 0.6f + e2 where the volatility of f is 30% and the volatility of e1 and e2 is 20%. What is the covariance of r1 and r2 ? (Nearest 0.0001)

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