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The standard deviation of return on investment A is 12%, while the standard deviation of return on investment B is 7%. If the correlation coefficient

The standard deviation of return on investment A is 12%, while the standard deviation of return on investment B is 7%. If the correlation coefficient between the returns on A and B is 0.238, the covariance of returns on A and B is _________.

A) 0.1388 B) 0.0020 C) 0.0020 D) 0.1388

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