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The correlation between two assets equals -0.296 and the covariance between the two assets is -0.0104. Which of the following least likely lists the standard deviations of the two assets?

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Question:

A
23.4% and 14.1%

explanation

The product of the two asset’s standard deviations, x, is calculated as:

Correlation = Covariance / x

x = –0.0104/–0.296 = 0.0351

The product of 23.4% and 14.1% does not equal 0.0351.

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