What is the 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 18% and a standard deviation of return of 20%. Stock B has an expected return of 14% and a standard deviation of return of 5%. The correlation coefficient between the returns of A and B is .50. The risk-free rate of return is 10%. What is the proportion of the optimal risky portfolio that should be invested in stock A?

Reference no: EM13260663

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