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?
23.4% and 14.1%
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.