Security X has expected return of 15% and standard deviation of 18%. Security Y has expected return of 9% and standard deviation of 10%. The two securities have a correlation coefficient of -1.0 (perfectly negatively correlated). The risk-free portfolio that can be formed with the two securities will earn a rate of return of ______.

Select one:

a.

11.14%

b.

12.28%

c.

12.00%

d.

10.57%

e.

None of the options are correct