Stock X has an expected return of 2% and a standard deviation of return of 5%. Stock Y has an expected return of 11% and a standard deviation of return of 18%. The correlation coefficient between the returns of X and Y is 1. The risk-free rate of return is 4%. What is the proportion of the optimal risky portfolio that should be invested in stock X?

a. 0.06

b. 0

c. 0.19

d. 0.37

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