Topic 4: Portfolio Theory with a Riskless Asset 2. Suppose that a fund that tracks the S&P has mean E(Rm) = 16% and standard deviation om = 10%, and suppose that the T-bill rate R; = 8%. Answer the following questions about efficient portfolios: (a) What is the expected return and standard deviation of a portfolio that is totally invested in the risk-free asset? 1 (b) What is the expected return and standard deviation of a portfolio that has 50% of its wealth in the risk-free asset and 50% in the S&P? (c) What is the expected return and standard deviation of a portfolio that has 125% of its wealth in the S&P, financed by borrowing 25% of its wealth at the risk-free rate? (d) What are the weights for investing in the risk-free asset and the S&P that produce a standard deviation for the entire portfolio that is twice the standard deviation of the S&P? What is the expected return on that portfolio