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Fundamentals of Corporate Finance |(8th Edition) See this solution in the app Chapter 12, Problem 6QP 3 Bookmarks Show all steps: ON Problem Portfolio Risk and Return. Suppose that the S&P 500, with a beta of 1.0, has an expected return of 10% and T-bills provide a risk-free return of 4%. a. How would you construct a portfolio from these two assets with an expected return of 8%? Specifically, what will be the weights in the S&P 500 versus T-bills? b. How would you construct a portfolio from these two assets with a beta of.4? C. Find the risk premiums of the portfolios in (a) and (b), and show that they are proportional to their betas. Step-by-step solution