An investor can design a risky portfolio based on two stocks, A and B. Stock A has an expected return of 12% and a standard deviation of return of 15.0%. Stock B has an expected return of 8% 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 6%. The proportion of the optimal risky portfolio that should be invested in stock A is Multiple Choice 0% 60% 45% 66%

An investor can design a risky portfolio based on two stocks, A and B. Stock A has an expected return of 12% and a standard deviation of return of 15.0%. Stock B has an expected return of 8% 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 6%. The proportion of the optimal risky portfolio that should be invested in stock A is Multiple Choice 0% 60% 45% 66%