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 of 14% and a standard deviation of return of 5%. The correlation coefficient between the returns of A and B is .50. The risk-free rate of return is 13.2%. The expected return on the optimal risky portfolio is ________.

Select one:

a.14.16%

b.16.2%

c.15.2%

d.14.6%

I am getting something else .21x