The optimal risky portfolio that should be invested in stock

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Reference no: EM131956724

An investor can design a risky portfolio based on two stocks, A and B. Stock A has an expected return of 14% and a standard deviation of return of 20.0%.

Stock B has an expected return of 10% and a standard deviation of return of 5%. The correlation coefficient between the returns of A and B is 0.50.

The risk-free rate of return is 6%. The proportion of the optimal risky portfolio that should be invested in stock A is _________.

Reference no: EM131956724

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