Question: Consider two risky securities A and B. A has an expected rate of return of 16% and a standard deviation of 22%. B has an

Consider two risky securities A and B. A has an expected rate of return of 16% and a standard deviation of 22%. B has an expected rate of return of 12% and a standard deviation of 18%. The correlation coefficient of A and B is 0.3. Risk-free rate is 5%. 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.	0.64; 0.36
	D.	0.57; 0.43
	E.	0.43; 0.57

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