What would be the expected return and beta of portfolios

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Question - Suppose that the S&P 500, with a beta of 1.0, has an expected return of 12% and T-bills provide a risk-free return of 3%.

a. What would be the expected return and beta of portfolios constructed from these two assets with weights in the S&P 500 of (i) 0; (ii) 0.25; (iii) 0.50; (iv) 0.75; (v) 1.0?

b. How does expected return vary with beta? (Do not round intermediate calculations.)

Reference no: EM132966232

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