An active investor has identified 3 stocks to form an active portfolio following the Treynor–Black Model. Stock J has an alpha of 3.75% and a residual standard deviation (RSD) of 14%; stock K has alpha = –2.95% and RSD = 18%; stock L has alpha = 4.75% and RSD = 28%. What is the optimal weight in the active portfolio for stock J? Please calculate the weight as a percentage of the portfolio. Do not enter % in the answer box. For example, if your answer is 0.12345 or 12.345% then enter as 12.35 in the answer box.
