Security X has expected return of 12% and standard deviation of 18%. Security Y has expected return of 15% and standard deviation of 26%. If the two securities have a correlation coefficient of 0.05, what is their covariance? Question 10 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 Correlation =1 Suppose that it is possible to borrow at the risk-free rate, rf. What must be the value of the riskfree rate? (Hint: Think about constructing a risk-free portfolio from stocks A and B.)