Greta has risk aversion of A = 4 when applied to return on wealth over a one-year horizon. She is pondering two portfoli

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Greta has risk aversion of A = 4 when appliedto return on wealth over a one-year horizon. She is pondering twoportfolios, the S&P 500 and a hedge fund, as well as a numberof one-year strategies. (All rates are annual and continuouslycompounded.) The S&P 500 risk premium is estimated at 6% peryear, with a standard deviation of 18%. The hedge fund risk premiumis estimated at 10% with a standard deviation of 33%. The returnson both of these portfolios in any particular year are uncorrelatedwith its own returns in other years. They are also uncorrelatedwith the returns of the other portfolio in other years. The hedgefund claims the correlation coefficient between the annual returnon the S&P 500 and the hedge fund return in the same year iszero, but Greta is not fully convinced by this claim.If the correlation coefficient between annual portfolio returns isactually 0.3, what is the covariance between thereturns? (Round your answer to 3 decimalplaces.)