c) Suppose that the borrowing rate is 5%. Assume that the equity market portfolio has an expected return of 8% and standard deviation of 12%, and that the risk-free rate is 3%. If you can form a portfolio using a risk-free asset and the market portfolio, what is the range of risk aversion for which a client will neither borrow nor lend, but will hold a portfolio composed only of the optimal risky portfolio? [8 marks]