liangfeng

A) 0.0244.
B) 0.0488.
C) 0.0445.
Your answer: B was incorrect. The correct answer was C) 0.0445.


Cov(i,j) = βi,1βj,1σ2F1 + βi,2βj,2σ2F2 + (βi,1βj,2 + βi,2βj,1)Cov(F1,F2)
Cov(i,j) = (1.4