Covariance Calculation Challenge

Very Hard Statistical Concepts And Returns Correlation And Covariance

Consider two assets, Asset X and Asset Y, with the following characteristics:

- The expected return on Asset X is 8% with a standard deviation of 10%.

- The expected return on Asset Y is 12% with a standard deviation of 15%.

- The correlation coefficient between the returns of Asset X and Asset Y is 0.6.

Using these values, calculate the covariance between Asset X and Asset Y. Which of the following options correctly states the covariance?

$$ 0.9 $$

$$ 0.72 $$

$$ 0.5 $$

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% Correct58%