Suppose that many stocks are traded in the market and that it is possible to borrow at the risk-free rate, ip. The characteristics of two of the stocks are as follows: Stock A B Correlation = -1 Expected Return 8% 12% Standard Deviation 40% 60% a. Calculate the expected rate of return on this risk-free portfolio? (Hint: Can a particular stock portfolio be substituted for the risk-free asset?) (Round your answer to 2 decimal places.) 1 Rate of retum % b. Could the equilibrium ry be greater than 9.60%? Yes No