Greg is a prestigious Mutual Fund offering balanced Debt and Equity portfolios for the Retail investor. The typical portfolio P can be represented by P = wD D + wE E. The Debt and Equity funds offer an expected return and volatilities of E(rd), E(rE), D, E, respectively and a correlation coefficient of DE. We also know that the betas of portfolios D and E are D and E. Please mark the only INCORRECT statement about the properties of the balanced fund P: a. The beta of portfolio P will be P = cov(rP,rM)/(M)2 , where M represents the market portfolio (S&P 500) b. The volatility of portfolio P will be P = wEE +wDD c. The resulting Beta of the portfolio will be P = wDD +wE E d. The expected return of portfolio P will be E(rp) = wDE(rD) + wEE(rE)