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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

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

A 14% 7%

B 22 11

Correlation = -1

Suppose that it is possible to borrow at the risk free rate rf What must be the value of the risk-free rate? (Hint: Thinks about constructing a risk-free portfolio from stocks A and B). Do not round intermediate calculations. Round your answers to 3 decimal places.

Please provide how you calculated this answer if possible. Not sure how to calculate in excel.

Risk-free rate: %

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