A. An investor can design a risky portfolio based on two stocks, A and B. Stock A has an expected return of 16% and a standard deviation of return of 9.0%. Stock B has an expected return of 12% and a standard deviation of return of 3%. The correlation coefficient between the returns of A and B is 0.60. The risk-free rate of return is 7%. The proportion of the optimal risky portfolio that should be invested in stock A is ________.

		0%
		51%
		67%
		60%

B. Stock 1 has an expected return of 6% and a standard deviation of 39%. Stock 2 has an expected return of 10% and a standard deviation of 19%. Their correlation is 0.58.

You invest 20% in stock 1 and 80% in stock 2.

What is the variance of the portfolio?

		0.063
		0.073
		0.053
		0.043

C.

Which one of the following portfolios cannot lie on the efficient frontier as described by Markowitz?

Portfolio	Expected Return			Standard Deviation
A		4.5	%		10	%
B		2.5	%		3.5	%
C		7.5	%		18	%
D		6	%		7.5	%

		Portfolio D cannot lie on the efficient frontier.
		Portfolio C cannot lie on the efficient frontier.
		Portfolio A cannot lie on the efficient frontier.
		Portfolio B cannot lie on the efficient frontier.
		Can not be determined with the given informaiton.

D.

Assume that stock market returns do not resemble a single-index structure. An investment fund analyzes 60 stocks in order to construct a mean-variance efficient portfolio constrained by 60 investments. They will need to calculate ________ covariances.

		None of the options
		6,000
		120
		60
		1,770

Please answer all of the questions :) Please and thank you!!!