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

An investor can design a risky portfolio based on two stocks, A and B. Stock A has an expected return of 17% and a standard deviation of return of 29%. Stock B has an expected return of 12% and a standard deviation of return of 14%. The correlation coefficient between the returns of A and B is .4. The risk-free rate of return is 6%. The proportion of the optimal risky portfolio that should be invested in stock B is approximately _________.

  • 27%

  • 65%

  • 35%

  • 73%

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