Chapter 06 - Efficient Diversification Use the following to answer questions 33-35: 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 return of 20%. Stock B has an expected retum of 14% and a standard deviation of return of 5%. The correlation coefficient between the returns of A and B is 0.50. The risk-free rate of return is 10%. 33. The proportion of the optimal risky portfolio that should be invested in stock A is A. 0% b. 40% c. 60% d. 100% Difically and 34. The expected return on the optimal risky portfolio is A. 14.0% b. 15.6% e. 16.4% d. 18.0% in Hand