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Portfolio C includes the optimal risky portfolio and a risk-free asset, and the optimal risky...

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Portfolio C includes the optimal risky portfolio and a risk-free asset, and the optimal risky portfolio contains stocks A and B. If the weight of optimal risky portfolio in portfolio C is 50%, calculate the weight of A in portfolio C using the following information. Risk free rate = 0.03 Correlation coefficient = 0.2 E(r) Std. Dev . 0.28 0.38 0.19 0.32 Select one: a. 28.02% b.21.56% c.44.05% d.52.43%

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