You construct a portfolio containing two stocks, X and Y. You invest 40% of your funds in Stock X and the remainder in Stock Y. Stock X has an expected return of 9.9% and has a standard deviation of 13%. Stock Y has an expected return of 13.2% and has a standard deviation of 19%. The covariance between the two stocks is 0.01482. What is the correlation coefficient between the two stocks?

a.

0.9

b.

0.8

c.

0.5

d.

0.6