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 20%. Stock B has an expected return of 14% and a standard deviation of 5%. The correlation coefficient between the returns of A and B is 0.50. The risk-free rate is 10%.

Based on these two stocks, what is the proportion of MVE (or tangency portfolio) that should be invested in stock A? (Hint: One the following is the correct answer.)

A) 0%

B) 50%

C) 100%

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