Suppose that the S&P 500, with a beta of 1.0, has an expected return of 15% and T-bills provide a risk-free return of 6%.

What would be the expected return and beta of portfolios constructed from these two assets with weights in the S&P 500 of (1) 0; (2) 0.25; (3) 0.50; (4) 0.75; (5) 1.0?

How does the expected return vary with beta?

Note: Do not round intermediate calculations.