Risk-free assets ((See Chapter 18 of the Vernimmen))

By definition, risk-free assets are those that offer a certain return, i.e. the risk-free rate (rF). These assets are free of the default risk of the issuer and of the coupon reinvestment risk. This is the case with a government bond, assuming of course that the government does not go bankrupt (see bankruptcy). The standard deviation and variance of its return are thus zero.