Stock S Has an Expected Return of 8 Percent and a Standard

Multiple Choice

Stock S has an expected return of 8 percent and a standard deviation of 20 percent. Stock B has an expected return of 3 percent and a standard deviation of 12 percent. If the correlation of the two stocks is 0.15, what is the weight of Stock S in the minimum variance portfolio?

A) 0.287
B) 0.236
C) 0.368
D) 0.229
E) 0.410