An investor can design a 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 17% and a standard deviation of return of 22.5%. Stock B has an expected return of 13% and a standard deviation of return of 3%. The correlation coefficient between the returns of A and B is 0.40. The risk-free rate of return is 11%. The proportion of the optimal risky portfolio that should be invested in stock A is _________.

Reference no: EM131973765

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