Proportion of the optimal risky portfolio

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1. A portfolio is composed of two stocks, A and B. Stock A has a standard deviation of return of 15%, while stock B has a standard deviation of return of 9%. The correlation coefficient between the returns on A and B is -0.5. Stock A comprises 80% of the portfolio, while stock B comprises 20% of the portfolio. The standard deviation of the return on this portfolio is

2. An investor can design a risky portfolio based on two stocks, A and B. Stock A has an expected return of 45% and a standard deviation of return of 9%. Stock B has an expected return of 15% and a standard deviation of return of 2%.The correlation coefficient between the returns of A and B is 0.0025. The risk-free rate of return is 2%. The proportion of the optimal risky portfolio that should be invested in stock A is _________.

Reference no: EM131994024

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