Question: Stocks A & B have the expected returns and standard deviations shown in the table below: Stock E(R) jo A 15% 30% B 25% 50%

Stocks A & B have the expected returns and standard deviations shown in the table below: Stock E(R) jo A 15% 30% B 25% 50% The correlation between A and B is 0.5. The risk-free rate is 3% and you have a risk-aversion parameter of 4. What is the proportion of your investment in A and B, respectively, in your optimal risky portfolio? 44.4% in A; 55.6% in B 55.6% in A; 44.4% in B 87.5% in A; 12.5% in B 62.5% in A; 37.5% in B 12.5% in A; 87.5% in B
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