An Investor Can Design a Risky Portfolio Based on Two

Multiple Choice

An investor can design a risky portfolio based on two stocks, A and B. Stock A has an expected return of 21% and a standard deviation of return of 39%. Stock B has an expected return of 14% and a standard deviation of return of 20%. The correlation coefficient between the returns of A and B is 0.4. The risk-free rate of return is 5%.
-The proportion of the optimal risky portfolio that should be invested in stock B is approximately _________.

A) 29%
B) 44%
C) 56%
D) 71%