【每日一练】CFA 一级（2015年）

Question：

The correlation between the historical returns of Stock A and Stock B is 0.75. If the variance of Stock A is 0.16 and the variance of Stock B is 0.09, the covariance of returns of Stock A and Stock B is closest to:
A. 0.16.
B. 0.09.
C. 0.01.

Answer = B 
Cov(A,B) = ρABσAσB = 0.75 × 0.4 × 0.3 = 0.09. 

CFA Level I 
"Portfolio Risk and Return: Part I," Vijay Singal 
Section 2.3.3 

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