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Business, 28.01.2021 23:20 amandamiro05

An investor can design a risky portfolio based on two stocks, A and B. Stock A has an expected return of 20% and a standard deviation of return of 23%. Stock B has an expected return of 15% and a standard deviation of return of 12%. The correlation coefficient between the returns of A and B is .4. The risk-free rate of return is 7%. The proportion of the optimal risky portfolio that should be invested in stock B is approximately .

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