Design risky portfolio based on two stocks

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An investor can design a risky portfolio based on two stocks, A and B. Stock A has an expected return of 15% and a standard deviation of return of 29%. Stock B has an expected return of 10% and a standard deviation of return of 14%. The correlation coefficient between the returns of A and B is .5. The risk-free rate of return is 5%. The proportion of the optimal risky portfolio that should be invested in stock B is approximately Options: 52% 30% 70% 48% The standard deviation of return on investment A is .28, while the standard deviation of return on investment B is .23. If the correlation coefficient between the returns on A and B is −.248, the covariance of returns on A and B is _________ Options: .2037 –.2037 –.0160 .0160

Reference no: EM131197628

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