that it is possible to borrow at the risk-free rate, rf. What must be the value of the risk-free rate? (Hint: Think about constructing a risk-free portfolio from Stocks A and B.) 11. Assume that expected returns and standard deviations for all securities (including the risk-free rate for borrowing and lending) are known. In this case all investors will have the same optimal risky portfolio. (True or false?) 12. The standard deviation of the portfolio is always equal to the weighted average of the standard deviations of the assets in the portfolio. (True or false?) 13. Suppose you have a project that has a .7 chance of doubling your investment in a year and a .3 chance of halving your investment in a year. What is the standard deviation of the rate of return on this investment? 14. Suppose that you have $1 million and the following two opportunities from which to construct a portfolio: a. Risk-free asset earning 12% per year. b. Risky asset earning 30% per year with a standard deviation of 40%. If you construct a portfolio with a standard deviation of 30%, what will be the rate of return? The following data apply to problems 15 through 17.   Hennessy & Associates manages a $30 million equity portfolio for the multimanager Wilstead Pension Fund. Jason Jones, financial vice president of Wilstead, noted that Hen- nessy had rather consistently achieved the best record among the Wilsteads six equity man- agers. Performance of the Hennessy portfolio had been clearly superior to that of the S&P 500 in four of the past five years. In the one less-favorable year, the shortfall was trivial. Hennessy is a "bottom-up" manager. The firm largely avoids any attempt to "time the market." It also focuses on selection of individual stocks, rather than the weighting of fa- vored industries.