Q3 (Essential to cover) The optimal risky portfolio P* has an expected return of 12.5% and a standard deviation of 19%. The current risk-free rate in the market is 3.5%. a. Draw the capital allocation line. What is the slope of this line and what does it represent? Suppose that separation theorem holds, and all investors invest along a common capital allocation line. Consider two different investors. Aggressive investor A holds an optimal complete portfolio which has a standard deviation of 25%. Conservative investor C holds an optimal complete portfolio with a standard deviation of 14%. b. What is the Sharpe Ratio of Investor A and Investor C's optimal complete portfolio? c. What is the expected return of Investor A and Investor C's optimal complete portfolio? d. What is allocation to risky assets y* for Investor A and Investor C's optimal complete portfolio? e. Derive the implied risk aversion coefficient for Investor A and Investor C. f. Explain why these results are a demonstration of separation theorem