c. is correct. Denote X=sigma_ab - non-diagonal component of covariance matrix and Y=sigma^2_a*sigma^2_b - product of two diagonal components of cov matrix. Then Pearson correlation coeff is the ratio of X and square root of Y.
Need a bit of help on a correlation coefficient question I came across during revision:
Shares A and B have the following Variance-Covaraince matrix.
What is the correlation coefficient between A and B?
If anyone could enlighten me with the answer and the method for getting the answer it would be much appreciated!