The proportion of the optimal risky portfolio

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Reference no: EM132055004

An investor can design a risky portfolio based on two stocks, A and B. Stock A has an expected return of 19% and a standard deviation of return of 33%. Stock B has an expected return of 14% and a standard deviation of return of 18%. The correlation coefficient between the returns of A and B is .6. The risk-free rate of return is 8%. The proportion of the optimal risky portfolio that should be invested in stock B is approximately _________.

Reference no: EM132055004

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