An investor can design a risky portfolio based on two stocks, A and B. Stock A has an expected return of 15% and a standard deviation of return of 25%. Stock B has an expected return of 10% and a standard deviation of return of 20%. The correlation coefficient between the returns of A and B is 0.5 . The risk-free rate of return in this economy is 4%. 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 A is 68.20% 65.14% 74.36% 71.15% 82.25%