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19. An investor can design a risky portfolio based on two stocks, A and B. Stock A has an expected return of 21% and a
19. 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 0.4. The risk-free rate of return is 5%. The standard deviation of returns on the optimal risky portfolio is _________. a) 25.5% b) 22.3% c) 21.4% d) 20.7%
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