Suppose Stock M Has an Expected Return of 10%, a Standard

Multiple Choice

Suppose Stock M has an expected return of 10%, a standard deviation of 15%, and a Beta of 0.6 while Stock N has an expected return of 20%, a standard deviation of 25% and a beta of 1.04, and the correlation between the two stocks is 0.50. What is the percent invested in Stock M to yield the minimum standard deviation portfolio containing Stock M and Stock N?

A) 34%
B) 55%
C) 73%
D) 92%