Question: 3 Consider historical data showing that the average annual rate of return on the S&P 500 portfolio over the past 85 years has averaged roughly

3 Consider historical data showing that the average annual rate of

3 Consider historical data showing that the average annual rate of return on the S&P 500 portfolio over the past 85 years has averaged roughly 8% more than the Treasury bill return and that the S&P 500 standard deviation has been about 38% per year. Assume these values are representative of investors' expectations for future performance and that the current T-bill rate is 5%. Calculate the expected return and variance of portfolios invested in T-bills and the S&P 500 index with weights as shown below. (Enter your answers as decimals rounded to 4 places. Leave no cells blank - be certain to enter "0" wherever required.) 12.5 points WBills Windex 1.0 Expected Return 0.1300 Variance 0.1444 Example 8 03:30:34 0.0 0.2 0.8 0.4 0.6 0.6 0.4 eBook 0.8 0.2 1.0 0.0 Print References

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