2.1 An investor with a mean-variance utility who allocates wealth between one risk free and n risky assets. Consider the following statement: "From the point of view of this investor, the tangency portfolio (T) will not necessarily dominate all other possible portfolios consisting of n risky assets and one riskless asset, even though it achieves the highest possible Sharpe ratio." Do you agree with this statement? Carefully explain your reasoning and use a diagram to support your answer. (5 marks)

2.2 3.2 A fund manager can invest in any combination of the three assets with the following expected returns and standard deviations: Asset 1: r1 = 2%. 01 = 2% Asset 2: r2 = 6%. 02 = 6% Asset 3: r3 = 4%, 03 = 4% All three assets returns are uncorrelated: P1; = 1013 = 923 = 0 . Find a portfolio consisting of these three assets that achieves an expected return of 4% with the lowest risk possible. Show all steps. (10 points)