The daily stock returns [math]r_1[/math] and [math]r_2[/math] have identical marginal distributions with an expected return equal to zero. The returns are independent with a mean return of 0.05, given that both returns are less than -0.2 The covariance equals 0.0225 and the means equal -0.25, given that one return is greater than -0.2.

Determine the covariance of [math]r_1[/math] and [math]r_2[/math].

• 0
• 0.01317
• 0.01417
• 0.0755
• 0.0795