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You have estimated the SIM model for stocks A and B. Stock A has an alpha of 0.8% and a standard deviation of residuals of

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You have estimated the SIM model for stocks A and B. Stock A has an alpha of 0.8% and a standard deviation of residuals of 28.0%. Stock B has an alpha of 1.7% and a standard deviation of residuals of 38.0%. What is the weight of stock A in the optimal active portfolio consisting of stocks A and B? The weight of stock A in the optimal active portfolio is Enter your answer to 2 decimal places eg if your answer is 0.02123% enter as 2.12%

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