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 12% 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 10%. The proportion of the optimal risky portfolio that should be invested in stock B is __________.

A. .2000

B. .2667

C. .3636

D. .8000

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