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Business, 08.03.2021 20:00 nikkiwoodward1ovgszp

An investor can design a risky portfolio based on two stocks, A and B. Stock A has an expected return of 11% and a standard deviation of return of 18.0%. Stock B has an expected return of 7% and a standard deviation of return of 3%. The correlation coefficient between the returns of A and B is 0.50. The risk-free rate of return is 5%. The proportion of the optimal risky portfolio that should be invested in stock A is . a. 0%.
b. 50%.
c. 32%.
d. 55%.

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