Consider Two Perfectly Negatively Correlated Risky Securities, K and L

Multiple Choice

Consider two perfectly negatively correlated risky securities, K and L. K has an expected rate of return of 13% and a standard deviation of 19%. L has an expected rate of return of 10% and a standard deviation of 16%.
The risk-free portfolio that can be formed with the two securities will earn _____ rate of return.

A) 9.5%
B) 11.4%
C) 10.9%
D) 9.9%
E) None of the options are correct.