Question 23 (4 points) Steve currently has all of his wealth in Treasury bills. He is considering investing 65% of his funds in Zegna Inc, whose beta is 2.40, with the remainder left in Treasury bills. Zegna has an expected return of 36.80% and Treasury bills have an expected return of 3.80%. What are Steve's portfolio beta and portfolio expected return? Portfolio beta =1.91, and Portfolio expected return =25.25%. Portfolio beta =1.20, and Portfolio expected return =20.30%. Portfolio beta =3.40, and Portfolio expected return =20.30%. Portfolio beta =1.56, and Portfolio expected return =25.25%