An investor can design a risky portfolio based on two stocks, A and B. Stock A has an expected return of 16% and a standard deviation of return of 30%. Stock B has an expected return of 11% and a standard deviation of retrun of 15%. The correlation coefficient between the returns of A and B is .5. The risk-free rate of return is 5%. The proportion of the optimal risky portfolio that should be invested in stock B is approximately ________.

A) 28% B) 46% C) 54% D) 72%

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