Two securities have a covariance of 0.076. If their respective standard deviations are 13% and 22%, what is their correlation coefficient?
A) 0.22
B) 0.38
C) 0.58
D) 0.72
E) 0.95

Question

Quizplus · Accepted Answer

The correlation coefficient is calculated using the formula: correlation coefficient = covariance / (standard deviation of X * standard deviation of Y). Plugging in the given values: 0.076 / (0.13 * 0.22) = 0.38.

Two Securities Have a Covariance of 0