"Portfolio Management":Beta coefficient

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Questions 1:

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 、 0.01.

B、 0.09.

C 、0.16.

Questions 2:

An asset has an annual return of 19.9%, standard deviation of returns of 18.5%,

and correlation with the market of 0.9. If the standard deviation of returns on

the market is 15.9% and the risk-free rate is 1%, the beta of this asset is closest

to:

A 、 1.02.

B 、 1.05.

C 、 1.16

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