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Jade plans to invest in a portfolio which comprises stock A and stock B. The expected...

Jade plans to invest in a portfolio which comprises stock A and stock B. The expected return of stock A is 28%. The expected return of stock B is 15%. The standard deviation of stock A is 32%. The standard deviation of stock B is 23%. T-bill rate is 3%. If the correlation coefficient between the returns on A and B is 0.2. What is the approximate proportion of the optimal risky portfolio that should be invested in stock A?

A.

56.3%
B.

59.3%
C.

61.6%
D.

57.1%
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