11. Assume that the CAPM holds and that there are two efficient portfolios: Portfolio A has expected return of 10% and Standard deviation of 2%. Portfolio B has expected return of 16% with standard deviation of 5%. What is the risk-free rate? 0/28 A) 4% 0/28 B) 5% C 11/28 6% 1/28 D 7% 1/28 8% 5/28 Not enough information 12. Assume that the CAPM holds and that there are two efficient portfolios: Portfolio A has expected return of 10% and Standard deviation of 2%. Portfolio B has expected return of 16% with standard deviation of 5%. Assume that Portfolio A invests 25% of its assets in Rf. Find the proportion that portfolio B invests in Risky asset. 1/28 A) 0.5 2/28 B) 0.75 1/28 1 D 0/28 1.25 11/28 E 1.875