10. Security A has an expected rate of return of 10% and a standard deviation of 16%. Security B has an expected rate of return of 8% and a standard deviation of 12%. Let A and B are perfectly negatively correlated. The expected return of a risk-free portfolio formed with A and B is

Select one:

a. 10%

b. 9.47%

c. 7.86%

d. 8.86%