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Value of the risk-free rate

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Stock A has an expected return of 10% and a standard deviation of 0.05. Stock B has an expected return of 15% and a standard deviation of 0.1. The correlation coefficient between the returns of these two stocks is -1. There are many other securities in this market, including a risk-free asset that investor can buy or short sell. What must be the value of the risk-free rate in this market?

Reference no: EM133120275

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