Kinda stuck with this question. Screenshotted it for clarity.

Consider three investors A, B, and C and one risky asset. The mean and standard deviation of the risky asset's return is 11 percent and 14 percent. The risk-free borrowing rate is 4 percent and the risk-free saving rate is 3 percent. The objective of the three investors is to maximize E(rc) where E(rc) and are the expected return and the variance of an investor's portfolio and i = A, B, C = 3, AB = 4.5, Ac = 4 (d) What is investor C's optimal portfolio weight on the risky asset? Suppose there is a second risky msset. The mean and the standard deviation of the second risky asset's return are 2 percent and 7 percent. The coefficient of correlation between the two risky a.ets' returns is -1. (e) Use the two risky to construct a portfolio whose return has zero stan- dard deviation. (f) Is there an arbitrage opportunity after introduce the second risky asset