Suppose you held a well-diversified portfolio A with a very large number of securities, and that the single index model holds. If the standard deviation of your portfolio A was 0.20 and the standard deviation of the market portfolio M was 0.16, the covariance of the portfolio A with the market portfolio M, cov(A, M), would be approximately [Choose the closest answer] O 1.25 O 0.032 O 0.80 O 1.56