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 $12\%5\%$

B $1710$

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: Think about constructing a risk$-$free portfolio from stocks A and B$.$ Since they have a perfect negative correlation, the rate of return will be the rf$)$