Question: Suppose two asset returns are described by a 1-factor model 11 = 2% + 0.68 + 1 12 = 2% + 0.6F+ ez where the

Suppose two asset returns are described by a 1-factor model 11 = 2% + 0.68 + 1 12 = 2% + 0.6F+ ez where the volatility of Pis 30% and the volatility of ej and ez is 20%. What is the covariance of ry and r2? (Nearest 0.0001)

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