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,