Shares in SergeantPepper will earn a return of 5.50% during a bull market, and 5.00% during a bear market. Shares in AbbeyRoad will earn a return of 5.30% during a bull market, and 1.30% during a bear market. Over the next year, there is a 70% chance of a bull market, otherwise it will be a bear market. What is the covariance of the two security returns?     0.000167     -0.000114     0.002235     0.000042

Essentials Of Investments
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ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
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Chapter1: Investments: Background And Issues
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Shares in SergeantPepper will earn a return of 5.50% during a bull market, and 5.00% during a bear market. Shares in AbbeyRoad will earn a return of 5.30% during a bull market, and 1.30% during a bear market. Over the next year, there is a 70% chance of a bull market, otherwise it will be a bear market. What is the covariance of the two security returns?

   

0.000167

   

-0.000114

   

0.002235

   

0.000042

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