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: rz = 4%, 03 = 4% All three assets returns are uncorrelated: P12 = P13 = P23 = 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)