|Author||Topic: Quants...Pls help understanding this Q|
|The correlation coefficient for a series of returns on two investments is equal to 0.80. Their covariance of returns is 0.06974 . Which of the following are possible variances for the returns on the two investments?
A) 0.04 and 0.19.
B) 0.02 and 0.44.
C) 0.08 and 0.37.
|correlation * std1 * std2 = cov
take sqrt(0.04)*sqrt(0.19) * 0.8 -> gives you 0.06974
CFA Discussion Topic: Quants...Pls help understanding this Q
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