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Weights of stocks a and b in the optimal risky portfolio

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An investor can design a risky portfolio with two stocks, A and B. Stock A has an expected return of 19% and a standard deviation of 22.5%. Stock B has an expected return of 15% and a standard deviation of 16%. The correlation coefficient between the two stocks is 0.5 and the risk-free T-bill rate is 7%.

What are the weights of stocks A and B in the optimal risky portfolio P and What is the standard deviation of the return on portfolio P?

Reference no: EM132622690

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