单选题
An analyst does research about correlation. The correlation of return between two securities with equal standard deviation is 0.75. If the covariance of returns in 5.5, the standard deviation of return of one security is closest to: A. 2.7% B. 5.7% C. 7.3%
【正确答案】
A
【答案解析】[解析] correlation=covariance/standard deviation2，得出：0.75=5.5/standard deviation2，故 standard deviation=2.7%。