Consider two perfectly negatively correlated risky securities A and B (the correlation = –1). A has an expected rate of

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Consider two perfectly negatively correlated risky securities A
and B (the correlation = –1). A has an expected rate of return of
10% and a standard deviation of 15%. B has an expected rate of
return of 13% and a standard deviation of 25%.The risk-free
portfolio that can be formed with the two securities will earn a
_____ rate of return.
A) 0%
B) 8.9%
C) 10.5%
D) 11.1%
E) Somewhere between 0% and 8%