Your boss comes up to you and tells you there are two stocks that he loves - Michael Kors and JCPenney. He is unsure the best weights to place on them though so he asks you to determine the weights in order to make sure he receives the highest possible risk-adjusted return. Kors has an expected return of 15% with a standard deviation of 35%. JCPenney has an expected return of 25% with a standard deviation of 51%. Their correlation coefficient is.56. The risk-free rate is 1.5%. What are the weights? Hint: Ask yourself if you need to adjust the returns by the risk-free rate. Multiple Choice Michael Kors Weight - 20.93% JCPenney Weight - 79.07% Michael Kors Weight - 73.01% JCPenney Weight - 26.99% Michael Kors Weight - 90.37% JCPenney Weight - 9.63% Michael Kors Weight - 17.28% JCPenney Weight - 82.72% Michael Kors Weight - 43.18% JCPenney Weight - 56.82%