An investor can design ansky portfolio based on two stocks, A and B Stock A has an expected return of 16% and a standard deviation of return of 90% Stock B has an expected return of 12% and a standard deviation of return of 3%. The correlation coefficient between the returns of A and B 060 These free rate of return is 7. The proportion of the optimal risky portfolio that should be invested in stockis Matt Choice o ON Consider the single factor APT Portfolio A has a beta of 11 and an expected return of 22%. Portfolio Bhas a beta of 5 and an expected return of 18%. The risk free rate of return is 8%. If you wanted to take advantage of an arbitrage opportunity, you should take a short position in portfolio and a long position in portfolio Multiple Choice BB BA