Question: Stocks A & B have the expected returns and standard deviations shown in the table below: Stock E(R) 12% 30% 19% 50% The correlation between

Stocks A & B have the expected returns and standard deviations

Stocks A & B have the expected returns and standard deviations shown in the table below: Stock E(R) 12% 30% 19% 50% The correlation between A and B is 0.4. The risk-free rate is 3% and you have a risk-aversion parameter of 2. What is the proportion of your investment in A and B, respectively, in your optimal risky portfolio

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