【正确答案】 B

【答案解析】
Covariance_A,B = Summation of t = 1 to n of (prob) (R_A - Mean_A) (R_B - Mean_B)
Mean A =0.5×0.3+0.5×0.15=0.225
Mean B =0.5×0.15+0.5×0.075=0.1125
Covariance =0.5×0.3-0.225×(0.15-0.1125)+0.5×(0.15-0.225)×(0.075-0.1125)=+0.0028
Note: This is the covariance, it is in return units squared (0.28%²). It is not the correlation coefficient, which is a pure number between +1 and -1.