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5- Suppose that there are many stocks in the security market and that the characteristics of stocks A and B are given as follows:

5- Suppose that there are many stocks in the security market and that the characteristics of stocks A and B are given as follows: (1 Point) Stock A Expected Return 10% B 15 Correlation = -1 Standard Deviation 5% 10 Suppose that it is possible to borrow at the risk-free rate, ry. What must be the value of the risk-free rate? (Hint: Think about constructing a risk-free portfolio from stocks A and B.)

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