The covariance can be derived by taking the correlation between the two assets and multiplying it by the standard deviation of each asset as follows:

$$\text{Cov}(A,B) = \rho_{A,B} \times \sigma_A \sigma_B$$

The standard deviation is the square root of the variance, so each asset's variance must be converted into standard deviations as follows:

Standard deviation of A: $\sqrt{0.056} = 0.236643$
Standard deviation of B: $\sqrt{0.082} = 0.286356$

$\text{Cov}(A,B) = 0.46 \times 0.236643 \times 0.286356 = 0.0312$

(Book 2, Module 15.2, LO 15.e)