An analyst does research about correlation

问题单项选择题

An analyst does research about correlation and gathers the following information about two stocks:

If the portfolio's standard deviation is 4.4%, the correlation between the two securities is closest to:()

A. 0.39

B. 0.88

C. 1.00

答案

参考答案：C

解析：

根据公式，并代入已知条件有：0.3²×0.065²+0.7²×0.035²+2×0.3×0.7×0.065×0.035×ρ=0.044²，得出ρ=1。