You want to invest in stocks X and Y. Historically, the stocks have performed as follows: X Y Expected (mean) return 12% 8% Standard deviation 11% 6% Correlation A,B = 0.5 What is the minimum variance portfolio that you can construct using these two stocks?

A. 100% in X

B. 3.3% in X and 96.7% in Y

C. 100% in Y

D. 10.2% in X and 89.8% in Y