Stock A has an 8% expected return and a 12% standard deviation. Stock B has a 10% expected return and a 20% standard deviation. Stocks A and B are uncorrelated (their returns have zero correlation). Suppose you can also borrow and invest at the risk-free rate. What should be the risk-free rate?

1. 8.75%

2. 9.25%

3. 15%

4. Not enough information to answer