Question: 8. [2 marks] Stocks A and B have return variance of 16 and 25, respectively. A portfolio with 80% in A and the rest in

8. [2 marks] Stocks A and B have return variance of 16 and 25, respectively. A portfolio with 80% in A and the rest in B has return variance of 8.68. What is the return correlation of A and B?

A. -0.02

B. -0.20

C. -0.40

D. Something else

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