1. [Portfolio Return and Risk] (20 pts) Return and risk characteristics of ETFs #1 and #2 are given in the following table: ETE Expected rate of return Expected risk level #1 (SPY) 30% 33% #2 ARKK) 85% 50% Calculate the expected returns and expected standard deviations of a two-asset portfolio in which ETF #1 (SPY) has a weight of 60% and ETF #2 (ARKK) has a weight of 40% under the following conditions. (14 pts) Conditions Expected portfolio's return Expected portfolio's risk level Correlation (ROR1, ROR2) 1.00 B 0.50 0.25 D 0.00 -0.25 E F G -0.50 -1.00 Finally, comment on the relationship between correlation coefficient and diversification benefit. (6 pts) YOUR