I can't figure out this problem for the life of me:
Suppose that many stocks are traded in the market and that it is possible to borrow at the risk-free rate, rf . The characteristics of two of the stocks are as follows:


StockExpected ReturnStandard Deviation
A 9% 30%
B 12 70
Correlation = -1
Calculate the expected rate of return on this risk-free portfolio. (Hint: Can a particular stock portfolio be substituted for the risk-free asset?)
Thank you!