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You hold 510,000 of stock XYZ and $10,000 in cash. You are considering investing your cash in one of 4 stocks. You decide to measure the correlation of each stock's returns with XYZ's returns and get the following table: If you're most concerned with building a diversified portfolio, which stock should you invest your cash in? Stock Correlation (p) with XYZ 10.67 B 0.34 IC 0.53 D 10.21 OB . Stock OPO's returns have a variance of 0.73 and a covariance with the market's returns of 0.22. The market's variance of returns is equal to 0.13 What percentage of Stock OPO's risk is systematic? 429 18% . 5196 29%