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An investor can design a risky portfolio based on two stocks. A and B. Stock A has an expected return of 18% and a standard
An investor can design a risky portfolio based on two stocks. A and B. Stock A has an expected return of 18% and a standard deviation of return of 20%. Stock B has an expected return 14% and a standard deviation of return of 5%. The correlation coefficient between the returns of A and B is 0.05. The risk free rate of return is 10%. The proportion of the optimal risky portfolio that should be invested in stock A
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