You live in a world with three securities A, B, and C. You are provided with the following risk-return profile for the risky securities.

Additionally, the correlation between securities A and B is 0.0, between securities A and C is -1.0, and between securities B and C is 0.0. The statistics represent the annualised expected return, annualized standard deviation and annualized correlations.

What is the implied one-year spot rate if no arbitrage opportunities exist?

0.92

8.11

3.00

3.77

1.12

\begin{tabular}{|l|l|l|} \hline Security & Expected Returns & Standard Deviation \\ \hline A & 10% & 18% \\ \hline B & 8% & 22% \\ \hline C & 6% & 20% \\ \hline \end{tabular}