Consider a market where investors have the typical mean-variance utility and face borrowing constraints. Investors can lend money at the risk-free rate of 0.02, and the corresponding tangent portfolio to the efficient frontier of risky assets, Pu has an expected return of 0.07 and a return variance of 0.01. Due to borrowing constraints, investors would have to borrow money at a higher rate of 0.04, and the corresponding tangent portfolio to the efficient frontier of risky assets, Pg, has an expected return of 0.12 and a return variance of 0.04. Investor 1 has a risk-aversion coefficient of 2.9, and investor 2 has a risk aversion coefficient of 3.9. Which statement below is true about their optimal risky portfolios and their capital allocation to the respective risky portfolio CHUN want this point ] Select one: a. Two investors will invest in two different portfolios locating between PL and PB on the efficient frontier, and they will both invest 100% of capital in the respective risky portfolio. b. Two investors will invest in two different portfolios locating between PL and PB on the efficient frontier, and investor 1 will invest a higher proportion of capital in the respective risky portfolio. c. Both investors will invest in a same portfolio locating between PL and PB on the efficient frontier, and investor 1 will invest a higher proportion of capital in the risky portfolio. d. Both investors will lend at 0.02 and invest in PL, and investor 1 will invest a higher proportion of capital in the risky portfolio. e. Both investors will borrow at 0.04 and invest in PB, and investor 1 will invest a higher proportion of capital in the risky portfolio. Consider a market where investors have the typical mean-variance utility and face borrowing constraints. Investors can lend money at the risk-free rate of 0.02, and the corresponding tangent portfolio to the efficient frontier of risky assets, Pu has an expected return of 0.07 and a return variance of 0.01. Due to borrowing constraints, investors would have to borrow money at a higher rate of 0.04, and the corresponding tangent portfolio to the efficient frontier of risky assets, Pg, has an expected return of 0.12 and a return variance of 0.04. Investor 1 has a risk-aversion coefficient of 2.9, and investor 2 has a risk aversion coefficient of 3.9. Which statement below is true about their optimal risky portfolios and their capital allocation to the respective risky portfolio CHUN want this point ] Select one: a. Two investors will invest in two different portfolios locating between PL and PB on the efficient frontier, and they will both invest 100% of capital in the respective risky portfolio. b. Two investors will invest in two different portfolios locating between PL and PB on the efficient frontier, and investor 1 will invest a higher proportion of capital in the respective risky portfolio. c. Both investors will invest in a same portfolio locating between PL and PB on the efficient frontier, and investor 1 will invest a higher proportion of capital in the risky portfolio. d. Both investors will lend at 0.02 and invest in PL, and investor 1 will invest a higher proportion of capital in the risky portfolio. e. Both investors will borrow at 0.04 and invest in PB, and investor 1 will invest a higher proportion of capital in the risky portfolio