Business, 12.10.2020 15:01 RiddleRider

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 standard deviation of the returns on the optimal risky portfolio is : a. 25.5%
b. 22.3%
c. 21.4%
d. 20.7%

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An investor can design a risky portfolio based on two stocks, A and B. Stock A has an expected retur...

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