An investor can design a risky portfolio based on two stocks, A and B. Stock...
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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 19% and a standard deviation of return of 15.0%. Stock B has an expected return of 15% and a standard deviation of return of 6%. The correlation coefficient between the returns of A and B is 0.80. The risk-free rate of return is 11%. The proportion of the optimal risky portfolio that should be invested in stock A is Multiple Choice 0% O 80% U O 65% U O 91%
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