单选题 An analyst does research about covariance and gathers the following joint probability function for the return of two securities.
Security 1 Return=10% Security 1 Return=15%
Security 2 Return=6% 0.0 0.4
Security 2 Return=12% 0.6 0.0
The covariance of returns between the two securities is closest to:
A. -4.8
B. -7.2
C. -8.4

【正确答案】 B
【答案解析】[解析] 证券1的平均收益率：10%×0.6+15%×0.4=12%。
证券2的平均收益率：6%×0.4+12%×0.6=9.6%。
证券1和证券2的协方差：
0.6×(10-12)(12-9.6)+0.4×(15-12)(6-9.6)=-2.88-4.32=-7.2。