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Proportion of the optimal risky portfolio

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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 12% and a standard deviation of return of 10%. Stock B has an expected return of 6% and a standard deviation of return of 4%.The correlation coefficient between the returns of A and B is 0.5. The risk-free rate of return is 4%. The proportion of the optimal risky portfolio that should be invested in stock A is _________.

Reference no: EM133070427

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