The standard deviation of return on stock A is 16% and the standard deviation on stock B is 6%. The correlation coefficient between the returns on stock A and B is 0.1. The expected return on stock A is 25% and the expected return on stock B is 11%. What is the proportion of the minimum-variance portfolio that would be invested in stock B?

a. 84.67%

b. 160%

c. 90.32%

d. 9.68%

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