Question: Consider two risky assets A and B with E(rA)= 15%, E(rB)= 9%, sigma_A= 0.32, sigma_B= 0.23, corr= 0.15. If you wan to create a portfolio

Consider two risky assets A and B with E(rA)= 15%, E(rB)= 9%, sigma_A= 0.32, sigma_B= 0.23, corr= 0.15. If you wan to create a portfolio with expected return of 12%. Your portfolio weight in Asset A (W_A) should be

Select one:

a. 30%

b. 50%

c. 25%

d. 40%

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