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

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Finance

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

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

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