Question: Suppose two asset returns are described by a 1-factor model 11 = 2% + 0.6F+ e1 2 - 2% + 0.67 + e2 where the

Suppose two asset returns are described by a 1-factor model 11 = 2% + 0.6F+ e1 2 - 2% + 0.67 + e2 where the volatility of fis 30% and the volatility of eand ezis 20%. What is the covariance of ry and r2 ? (Nearest 0.0001)

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