Chapter 7 An investor can design a risky portfolio based on two stocks, A and B. Stock A has an expected return of 6% and a standard deviation of return of 10%. Stock B has an expected return of 12% and a standard deviation of return of 20%. The correlation coefficient between the returns of A and B is 15%. The risk-free rate of return is 4%. a. What is the proportion of the optimal risky portfolio that should be invested in stock A? b. What is he expected retum on the optimal risky portfolio? c. What is the standard deviation of return on the optimal risky portfolio