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. The standard deviation of return on stock A is 24% while the standard deviation on stock B is 14%. The correlation coefficient between the return on A and B is 0.35. The expected return on stock A is 25% while on stock B it is 11%. The proportion of the minimum variance portfolio that would be invested in stock B is approximately _________.

A) 45%
B) 67%
C) 85%
D) 92%