In: Finance
State of Nature………..Probability…………….State Dependent Return A………….State Dependent Return B Recession……………………..70%................................-0.08 ………………………………………………-0.04
Expansion.....................30%.................................0.28……………………………………………….0.16
What comes closest to the covariance between Stock A and Stock B?
a. |
.0028 |
|
b. |
.1170 |
|
c. |
-.0028 |
|
d. |
.0000 |
|
e. |
.0151 |