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 OA 0.43; 0.57 0 8.0.64:0.36 OC0.57;0.43 OD.0.52:0.48 OL 0.67: 0.33

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