Problem: Consider an economy spanned by N risky assets and a risk free asset, where the maximum sharpe ratio is 0.56 and the risk free asset (F) yields 6%. All investors can buy or sell the following funds: A client of yours who is highly risk-averse wants to invest in a fund with a standard deviation of only 5%. He has been approached by Tom Fund, the legendary fund manager that runs the "Select" fund. Question: a) Should your client invest his savings in the "Select" fund? Why or why not? b) If not, how could he do better and still maintain a standard deviation of 5% ? What expected return can he achieve? c) Another client of yours wants to invest in a fund with a standard deviation of 30%. What would you recommend to her? Clearly explain in which assets she should invest in order to achieve her objective. Calculate the returns and the standard deviations