Question: Stock A has an 8% expected return and a 12% standard deviation. Stock B has a 10% expected return and a 20% standard deviation. Stocks

Stock A has an 8% expected return and a 12% standard deviation. Stock B has a 10% expected return and a 20% standard deviation. Stocks A and B are uncorrelated (their returns have zero correlation). Suppose you can also borrow and invest at the risk-free rate. What should be the risk-free rate?

8.75%
9.25%
15%
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