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An investor can design a risky portfolio based on two stocks, A and B. Stock A has an expected

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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 18.0%. 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 0.50. The risk-free rate of return is 9%. The proportion of the optimal risky portfolio that should be invested in stock A is _________.;0%;50%;32%;59%

 

Paper#28341 | Written in 18-Jul-2015

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