Question: There are two assets M and N. The expected return of asset M is 7% and the expected return of asset N is 11%. The

There are two assets M and N. The expected return of asset M is 7% and the expected return of asset N is 11%. The standard deviation of returns of assets M and N is 3% and 7%, respectively. Half of the portfolio is invested in Asset M and half of it in asset N. The variance of the portfolio is 0.001975. What is the correlation between asset M and asset N? Group of answer choices

0.5

-0.5

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