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Business, 15.04.2020 03:43 richtercatrina16

An investor can design a risky portfolio based on two stocks, A and B. Stock A has an expected return of 21% and a standard deviation of return of 39%. Stock B has an expected return of 14% and a standard deviation of return of 20%. The correlation coefficient between the returns of A and B is .4. The risk-free rate of return is 5%.
The proportion of the optimal risky portfolio that should be invested in stock B is approximately .

A) 29% B) 44% C) 56% D) 71%

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