Consider Two Perfectly Negatively Correlated Risky Securities a and B

question 39

Multiple Choice

Consider two perfectly negatively correlated risky securities A and B A has an expected rate of return of 12% and a standard deviation of 17%. B has an expected rate of return of 9% and a standard deviation of 14%.
The risk-free portfolio that can be formed with the two securities will earn _____ rate of return.

• A) 9.5%
• B) 10.4%
• C) 10.9%
• D) 9.9%

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