Step-by-step calculation:

1. Calculate standard deviations:

   • Standard deviation of X = √(Variance of X) = √0.1225 = 0.35
   • Standard deviation of Z = √(Variance of Z) = √0.3721 = 0.61

2. Apply correlation coefficient formula: Correlation coefficient = Covariance(X,Z) / (σ_X × σ_Z) = 0.19 / (0.35 × 0.61) = 0.19 / 0.2135 = 0.8899

Key points:

• The correlation coefficient calculation does NOT use portfolio weights - weights are irrelevant for this calculation
• Correlation coefficient formula: ρ = Cov(X,Z) / (σ_X × σ_Z)
• The result of 0.8899 indicates a strong positive correlation between Assets X and Z
• The weights (35% for X, 65% for Z) are a distractor in this question