Suppose Stock a Has an Expected Return of 15%, a Standard

Multiple Choice

Suppose Stock A has an expected return of 15%, a standard deviation of 20%, and a Beta of 0.4 while Stock B has an expected return of 25%, a standard deviation of 30% and a beta of 1.25, and the correlation between the two stocks is 0.25. What is the percent invested in Stock A to yield the minimum standard deviation portfolio containing Stock A and Stock B?

A) 25%
B) 50%
C) 75%
D) 90%