Consider a market where investors have the typical mean-variance utility and face borrowing constraints. Investors can lend money at the risk-free rate of 0.01, and the corresponding tangent portfolio to the efficient frontier of risky assets, PL, has an expected return of 0.06 and a return variance of 0.01. Due to borrowing constraints, investors would have to borrow money at a higher rate of 0.03, and the corresponding tangent portfolio to the efficient frontier of risky assets, PB, has an expected return of 0.11 and a return variance of 0.04. Investor 1 has a risk-aversion coefficient of 2.8, and investor 2 has a risk aversion coefficient of 3.8. Which statement below is true about their optimal risky portfolios and their capital allocation to the respective risky portfolio? Select one: O a. Two investors will invest in two different portfolios locating between PL and PB on the efficient frontier, and they will both invest 100% of capital in the respective risky portfolio. O b. Two investors will invest in two different portfolios locating between PL and PB on the efficient frontier, and investor 1 will invest a higher proportion of capital in the respective risky portfolio. O c. Both investors will invest in a same portfolio locating between PL and PB on the efficient frontier, and investor 1 will invest a higher proportion of capital in the risky portfolio O d. Both investors will lend at 0.01 and invest in PL, and investor 1 will invest a higher proportion of capital in the risky portfolio. Oe. Both investors will borrow at 0.03 and invest in PB, and investor 1 will invest a higher proportion of capital in the risky portfolio