Suppose that there are many stocks in the security market and that the characteristics of stocks A and B are given as follows: Expected Return Stock Standard Deviation 69 11 149 16 Correlation-1 Suppose that it is possible to borrow at the risk-free rate, r. What must be the value of the risk-free rate? (Hint: Think about constructing a risk-free portfolio from stocks A and B) Note: Do not round intermediate calculations. Round your answer to 3 decimal places. Risk-free rate

Suppose that there are many stocks in the security market and that the characteristics of stocks A and B are given as follows: Expected Return Stock Standard Deviation 69 11 149 16 Correlation-1 Suppose that it is possible to borrow at the risk-free rate, r. What must be the value of the risk-free rate? (Hint: Think about constructing a risk-free portfolio from stocks A and B) Note: Do not round intermediate calculations. Round your answer to 3 decimal places. Risk-free rate

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter8: Analysis Of Risk And Return

Section: Chapter Questions

Problem 13QTD

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