Chapter 12 Assignment Saved 5 Problem 12-18 Portfolio Risk and Return (LO2) Suppose that the S&P 500, with a beta of 1.0, has an expected return of 13% and T-bills provide a risk-free return of 6%. 11.11 points 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; (i) 0.25; (iii) 0.50; (iv) 0.75; (v) 10? (Leave no cells blank - be certain to enter "0" wherever required. Do not round intermediate calculations. Enter the value of Expected return as a percentage rounded to 2 decimal places and value of Beta rounded to 2 decimal places.) eBook Expected Return Beta Print 0 % (0) (11 0.25 % 0.50 % References (iv) 0.75 % (v) 1.0 % b. How does expected return vary with beta? (Do not round intermediate calculations.) The expected return by % for a one unit increase in beta