11 An investor constructs 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 0.4. The risk-free rate of return is 5%. The proportion of the optimal risky portfolio that should be invested in stock A is approximately Your choice: 11/12 QS 44% 56% 71% 29% Submit