Consider historical data showing that the average annual rate of return on the S&P 500 portfolio over the past 70 years has averaged about 8.5% more than the Treasury bill re- turn and that the S&P 500 standard deviation has been about 20% per year. Assume these values are representative of investors' expectations for future performance and that the current T-bill rate is 5%. Use these values to solve problems 10 to 12. 10. Calculate the expected return and variance of portfolios invested in T-bills and the S&P 500 index with weights as follows: Wbills Windex 0 1.0 0.2 0.8 0.6 0.4 0.6 0.4 0.2 0.8 1.0 0 11. Calculate the utility levels of each portfolio of problem 10 for an investor with A = 3. What do you conclude? 12. Repeat problem 11 for an investor with A 5. What do you conclude