单选题 An analyst does research about the covariance of returns and gathers the following information about the retums of two securities:
Probability Security 1 Security 2
0.6 0% 20%
0.4 20% 0%
The covariance of returns between Security 1 and Security 2 is closest to:
A. -36
B. -64
C. -96

【正确答案】 C
【答案解析】[解析] Security 1的平均收益=0.6×0%+0.4×20%=8%，Security 2的平均收益=0.6×20%+0.4×0%=12%，协方差=0.6×(0-8)×(20-12)+0.4×(20-8)×(0-12)=-96。