Question: Given the returns, risk, and correlation: E(r) o PSB Portfolio S 0.16 0.42 -0.17 Portfolio B 0.085 0.21 Risk-free 0.045 What is the weight of

Given the returns, risk, and correlation: E(r) o PSB Portfolio S

Given the returns, risk, and correlation: E(r) o PSB Portfolio S 0.16 0.42 -0.17 Portfolio B 0.085 0.21 Risk-free 0.045 What is the weight of Portfolio Sfor the optimal portfolio? 0.3924 0.3496 0.3724 0.3353 0.3178

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