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An investor can design a risky portfolio based on two stocks, A and B. Stock A...

An investor can design a risky portfolio based on two stocks, A and B. Stock A has an expected return of 26% and a standard deviation of return of 39%. Stock B has an expected return of 15% and a standard deviation of return of 25%. The correlation coefficient between the returns of A and B is .5. The risk-free rate of return is 6%. The proportion of the optimal risky portfolio that should be invested in stock B is approximately _________.

28.28%

32.68%

35.72%

51.16%

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jeff jeffy answered 2 years ago
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