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QUESTION 4 An investor can design a risky portfolio based on two stocks, A and B. The standard deviation of reborn on stock A is

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QUESTION 4 An investor can design a risky portfolio based on two stocks, A and B. The standard deviation of reborn on stock A is 12%, while the standard deviation on stock B is 79. The correlation coefficient between the returns on A and B is .35. The expected return on stock A is 20%, while on stock B it is 10%. The proportion of the minimum-variance portfolio that would be invested in stock B is approximately 67% O 8596 O 4596 9206

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