An Investor Can Design a Risky Portfolio Based on Two

question 18

Multiple Choice

An investor can design a risky portfolio based on two shares, A and B. The standard deviation of return on Share A is 24% while the standard deviation on Share B is 14%. The correlation coefficient between the return on A and B is 0.35. The expected return on Share A is 25% while on Share B it is 11%. The proportion of the minimum variance portfolio that would be invested in Share B is approximately ________.

• A)45%
• B)67%
• C)85%
• D)92%

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