Let us see what happens if one of the assets has no risk (i.e. = 0). (a) Suppose that there are three mutually independent

Let us see what happens if one of the assets has no risk (i.e. σ = 0).

(a) Suppose that there are three mutually independent assets, with μ1 = 5%, σ1 = 0%, μ2 = 8%, σ2 =sqrt(2) (i.e. σ2^2=2)
σ2 = 2), μ3 = 12%, σ3 = 2%. What is the risk-averse optimal portfolio for an investor whose risk aversion is a = 2? And for a = 3?

(b) How do these expected returns compare with the maximum risk-free expected return?