3. Consider a mean-variance investor who cannot borrow and lend at the same rate. Specifically, the investor can borrow at rate ry and lend at rate ri, with ro > 17. (25 points) (a) Suppose that there is a single stock with expected return Er) and standard deviation 01. Write the expected return of the portfolio i) when the investor invests less than his initial wealth in the stock, ii) when the investor invests more than his initial wealth in the stock. Denote w the weight of the stock in the portfolio. [5 points] 1 (b) In each case, write the expected return of the portfolio as a function of the standard deviation of the portfolio and represent the portfolio frontier in a graph. (5 points] 3. Consider a mean-variance investor who cannot borrow and lend at the same rate. Specifically, the investor can borrow at rate ry and lend at rate ri, with ro > 17. (25 points) (a) Suppose that there is a single stock with expected return Er) and standard deviation 01. Write the expected return of the portfolio i) when the investor invests less than his initial wealth in the stock, ii) when the investor invests more than his initial wealth in the stock. Denote w the weight of the stock in the portfolio. [5 points] 1 (b) In each case, write the expected return of the portfolio as a function of the standard deviation of the portfolio and represent the portfolio frontier in a graph. (5 points]