(b) If an investor chooses an efficient portfolio comprising risky assets and a risk-free asset, should this investor always invest a positive proportion in the risky free asset? Briefly explain. (ii) (10 marks) If an investor chooses an efficient portfolio comprising risky assets and a risk-free asset, should this investor never invest in portfolios that have a higher variance than the tangent portfolio? Briefly explain. (10 marks) (111) (i) (ii) When there is a risk-free asset available, will the tangent portfolio of risky assets on the efficient frontier include risky assets on the inefficient frontier? Briefly explain. (10 marks) The expected returns on two distinct risky assets A and B are correlated and a portfolio consisting of A and B has zero variance of expected return. What can be said about the correlation between the expected returns of risky assets A and B? (10 marks) An investor constructs an efficient portfolio that invests 150% of his investment in the tangent portfolio of risky asset and is short in the risky free asset for the rest. What can be said about the standard deviation of the efficient portfolio? (10 marks)