Given the risk-free rate of T-bill (F) is r_f = 5% , the broad market (index M) has an expected return of 10% with u² = 4%. Now comes an investor with specific risk aversion degree of A = 2.5. Decide the index weight, expected return and Sharpe ratio of the investors complete portfolio (C). Moreover, if the investor expects an extraordinary 35%

rate of return, what will he do?