An investor can design a risky portfolio with two stocks. Stock X has an expected return of 20% and a standard deviation of return of 12.5%. Stock Y has an expected return of 16% and a standard deviation of return of 5%. The correlation coefficient between the returns of X and Y is 0.80. The risk-free rate of return is 12%. The proportion (weight) of the optimal risky portfolio that should be invested in stock X is __________.

Multiple Choice

68%

92%

0%

80%