Question: PROBLEM MUST BE DONE IN EXCEL Consider two risky assets, S and B , with the following characteristics: E ( rS ) = 9 %

PROBLEM MUST BE DONE IN EXCEL
Consider two risky assets, S and B, with the following characteristics: E(rS)=9%,\sigma S=20%
E(rB)=5%,\sigma B=5% and \rho BS=-1
a) Is it possible to combine the two assets in a portfolio such that the portfolio has zero risk (i.e. zero standard deviation)? If so, what is the composition of the zero-risk portfolio?
b) Suppose that in addition to trading in the risky assets S and B, investors can also freely buy, sell or short-sell a risk-free asset with risk-free rate rf. What must be the risk-free rate rf ? What would happen otherwise?

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