Computation of risk free rate of return

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Computation of Risk free rate of return

Suppose that securities A and B are perfectly negatively correlated, with expected returns 8% and 12% and standard deviations 15% and 25%, respectively. Compute the risk-free rate (or the rate of return on a risk-free portfolio).

Hint: You have to construct a portfolio with zero volatility.

Reference no: EM1316679

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