Question: Q12. Consider the following expected returns, volatilities, and correlation. Expected Standard Correlation Correlation Correlation Stock Return Deviation with A with B with C A 14%

Q12. Consider the following expected returns, volatilities, and correlation. Expected Standard Correlation Correlation Correlation Stock Return Deviation with A with B with C A 14% 6% 1.0 -1.0 0.0 B 44% 24% -1.0 1.0 0.7 C 23% 14% 0.0 0.7 1.0 Consider a portfolio consisting of only A and B. The percentage of your investment (portfolio weight) that you would place in A to achieve a risk-free investment would be closest to: a. 10% b. 15% C. 25% d. 40%

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