there is no risk free asset here,
in treynor black :
there is a passive portfolio which is THE MARKET PORTFOLIO
there is a Active portfolio which is a portfolio constructed with positive alpha stocks.
the optimal portfolio is a combinaison of those 2 ptf. so there is no 0 std dev
and the active porfolio does not have 15.6 sigma since you have no information about the return ( the 10% is the return of the OPTIMAL portfolio ) so you cannot calculate the stdev of active portfolio since you dont have his return.
i whish i can look at the real question to figure it out since im confident that there is something wrong here,