Question: Consider two risky securities A and B. A has an expected rate of return of 15% and a standard deviation of 20%. B has an

Consider two risky securities A and B. A has an expected rate of return of 15% and a standard deviation of 20%. B has an expected rate of return of 10% and a standard deviation of 16%. The correlation coefficient of A and B is 0.2. Risk-free rate is 6%. The weights of A and B in the optimal risky portfolio are _____ and _____, respectively.

	A.	0.67; 0.33
	B.	0.52; 0.48
	C.	0.54; 0.46
	D.	0.64; 0.36
	E.	0.43; 0.57

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