An investor can design a risky portfolio based on two stocks, A and B. Stock A has an expected return of 21% and a standard deviation of return of 39%. Stock B has an expected return of 14% and a standard deviation of return of 20%. The correlation coefficient between the returns of A and B is .4. The risk-free rate of return is 5%.

a. The proportion of the optimal risky portfolio that should be invested in stock B is approximately

b. The expected return on the optimal risky portfolio is approximately

c. The standard deviation of returns on the optimal risky portfolio is