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The standard deviation of return on investment A is 0.10, while the standard deviation of return on investment B is 0.05. If the covariance of

The standard deviation of return on investment A is 0.10, while the standard deviation of return on investment B is 0.05. If the covariance of returns on A and B is 0.0030, the correlation coefficient between the returns on A and B is

0.36

0.77

0.60

0.12

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