An investor can design a risky portfolio based on two stocks, A and B$.$ Stock A has an expected return of $14\%$ and a standard deviation of return of $38\%.$

Stock $B$ has an expected return of $12\%$ and a standard deviation of return of $23\%.$ The correlation coefficient between the returns of A and $B$ is $0\mathrm{.}5.$ The

risk$-$free rate of return is $5\%.$ The proportion of the optimal risky portfolio that should be invested in stock $B$ is approximately

Multiple Choice

$22\%$

$39\%$

$61\%$

$78\%$