单选题

The variance of returns of Asset A is 625. The variance of returns of Asset B is 1,225. The covariance of returns between Asset A and Asset B is 600. The correlation of returns between Asset A and Asset B is closest to:

A、 0.47.
B、 0.29.
C、 0.69.

【正确答案】 C

【答案解析】

Correlation of returns between Asset A and B p(RA, RB), is defined as:

where R_A and R_B are the returns of Asset A and B
CoV(R_A, R_B) is the covariance of returns between Asset A and B
σ(R_A) and σ(R_B) are the standard deviations of returns of Asset A and B
In this problem, the correlation is