Calculation of the risk-free rate

Reference no: EM1315409

Calculation of the risk-free rate or the rate of return on a risk-free portfolio.

Warm-up Problem. 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: EM1315409

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