- CFA Exams
- CFA Level I Exam
- Study Session 18. Portfolio Management (1)
- Reading 52. Portfolio Risk and Return: Part I
- Subject 5. Portfolio Risk
CFA Practice Question
Security X has an expected return of 12% and a standard deviation of 20%. Security Y has an expected return of 15% and a standard deviation of 27%. If the two securities have a correlation coefficient of 0.7, what is their covariance?
A. 0.038
B. 0.070
C. 0.018
Explanation: 20% x 27% x 0.7 = 0.038
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