An investor can design a risky portfolio based on two stocks, A and B. Stock A has an expected return of 21% and a standard deviation of return of 39%. Stock B has an expected return of 14% and a standard deviation of return of 20%. The correlation coefficient between the returns of A and B is 0.4. The risk-free rate of return in this economy is 5%. The investor wishes to construct an optimal risky portfolio (i.e. the portfolio with the highest Sharpe ratio =pE[rp]rf ). The proportion of the optimal risky portfolio that should be invested in stock B is 58.3%71%82.25%12%34%