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Consider two perfectly negatively correlated risky securities A and B. A has an expected rate of return of 12% and a standard deviation of 18%.

Consider two perfectly negatively correlated risky securities A and B. A has an expected rate of return of 12% and a standard deviation of 18%. B has an expected rate of return of 7% and a standard deviation of 12%. What is the risk free rate? Select one: a. 9.9% b. 8.9% c. 9.0% d. 8.5% e. 6.2%

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