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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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