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Suppose that there are many stocks in the security market and that the characteristics of...

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Finance

Suppose that there are many stocks in the security market and that the characteristics of stocks A and B are given as follows: Stock Expected Return Standard Deviation A 11 % 4 % B 21 10 Correlation = 1 Suppose that it is possible to borrow at the risk-free rate, rf . What must be the value of the risk-free rate? (Hint: Think about constructing a risk-free portfolio from stocks A and B.) (Do not round intermediate calculations. Round your answer to 3 decimal places. Omit the "%" sign in your response.) Risk-free rate %

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