Question

An investor can design a risky portfolio based on two stocks, A and B. Stock A has an expected return of 21% and a standard deviation of return of 39%. Stock B has an expected return of 14% and a standard deviation of return of 20%. The correlation coefficient between the returns of A and B is .35. The risk-free rate of return is 5%. The standard deviation of returns on the optimal risky portfolio is _________. When solving this problem, make sure you use at least 4 decimal places when completing the calculations and round your answer to 2 decimal places. PLease input your final answer as a percentage with 2 decimal places without the percent sign. For example, 47.27.

Answer 1