According to the Separation Property (Theorem)

an investors choice of the optimal portfolio is dependent on the investors degree of risk aversion.

each investor will choose the best portfolio from the efficient frontier based on each individuals separate degree of risk they are willing to accept.

an investor chooses an optimal risky portfolio independent of their degree of risk aversion; and then constructs a Complete Portfolio from T-bills and the optimal risky portfolio based on the investor's degree of risk aversion.

an investor first chooses an optimal risky portfolio according to the investor's risk-aversion level; and then separately maximizes their return based on that optimal portfolio.