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an investor can design a risky portfolio based on two stocks a and b stock a has an expected return of 15% and a standard deviation of return of 20%. stock b has an expected return of 11% and a standard deviation of 5%. The correlation coefficient between the returns of A and B is 0.50. The risk-free rate of return is 7%. The proportion of the optimal risky portfolio that should be invested in stock A is __________..

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an investor can design a risky portfolio based on two stocks a and b stock a has an expected return of 15% and a standard deviation of return of 20%. stock b has an expected return of 11% and a standard deviation of 5%. The correlation coefficient between the returns of A and B is 0.50. The risk-free rate of return is 7%. The proportion of the optimal risky portfolio that should be invested in stock A is __________.

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an investor can design a risky portfolio based on two stocks.pdf

  • 1. an investor can design a risky portfolio based on two stocks a and b stock a has an expected return of 15% and a standard deviation of return of 20%. stock b has an expected return of 11% and a standard deviation of 5%. The correlation coefficient between the returns of A and B is 0.50. The risk-free rate of return is 7%. The proportion of the optimal risky portfolio that should be invested in stock A is __________.