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 0.04, and the corresponding tangent portfolio to the efficient frontier of risky assets, Pu, has an expected return of 0.09 and a return variance of 0.01 Due to borrowing constraints, Investors would have to borrow money at a higher rate of 0.06, and the corresponding tangent portfolio to the efficient frontier of risky assets, Ps, has an expected return of 044 and a return variance of 0.04. Investor 1 has a risk-aversion coefficient of 2.5, and investor 2 has a risk aversion coefficient of 3.5. Which statement below is true about their optimal risky portfolios and their capital allocation to the respective risky portfolio? 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. 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 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 0.04 and invest in PL, and investor 1 will invest a higher proportion of capital in the risky portfolio e. Both investors will borrow at 0.06 and invest in PB, and investor 1 will invest a higher proportion of capital in the risky portfolio