Assume the optimal allocation to risky assets y* for an investor with utility function U = E(r) - A is given by: y* E(Tp.) - T . The Optimal Complete Portfolio (C*) is the portfolio combination of risky assets (composed of P*) and risk-free assets that provides an investor with the highest possible utility, given their level of risk aversion. 38. What is the risk aversion coefficient, A, for Investor I, whose optimal allocation to risky assets y* is 100%? 39. What is investor I's Optimal Complete Portfolio annualised Sharpe Ratio? Investor J's Optimal Complete Portfolio has an annualised standard deviation of 10%. What is Investor J's... 40. optimal allocation to risky assets y*? 41. risk aversion coefficient, A? 42. Optimal Complete Portfolio annualised expected return? 43. Optimal Complete Portfolio annualised Sharpe ratio? 44. What is Investor J's Optimal Complete Portfolio utility score? Captial Allocation Line (CAL) Sharpe Ratio Rf y X Return SD 1.43 47.52% 31.09% 3.00% 3.00% 0%