Vera holds 2 stocks, A & B, and is wanting to decide on the proper weights for a portfolio. To do that Vera requires the covariance and would like your help. Already calculated is (all in % where appropriate):

Ret of Stock A = 3.6 Ret of Stock B = 12 Ret of market = 0.12 Standard deviation of returns on A = 0.25 Standard deviation of returns on B = 0.89 Standard deviation of the market returns = 0.25 Beta of Stock A = 3.6 Beta of Stock B = 12

What is the covariance between the returns of Stock A & B?

Select one:

a.

10.80

b.

6.75

c.

2.70

d.

172.80

e.

43.20

f.

27.00

g.

insufficient information to determine